This Title All WIREs
How to cite this WIREs title:
WIREs Comp Stat

Weighted cross validation in model selection

Full article on Wiley Online Library:   HTML PDF

Can't access this content? Tell your librarian.

Outliers and gross errors in the data, as well as deviations from the normality assumption of the error distribution, impact adversely statistical analyses that are based on classical procedures such as least squares and maximum likelihood methods. We briefly review the cross‐validation (CV) method to model selection and discuss its robust extension based on weighted likelihood methodology. The main advantage of weighted CV is that it is computationally fast, much faster than many of the robust model selection procedures proposed in the literature. We present the weighted CV algorithm, its operating characteristics, and illustrate its performance under symmetric and asymmetric contamination. The procedure, in the absence of contamination and under mild conditions, is asymptotically equivalent to the CV method for model selection. Additionally, it is asymptotically loss efficient and differs from the robust CV procedure introduced in the literature in that it downweights only those observations that do not fit well the full model. This article is categorized under: Statistical and Graphical Methods of Data Analysis > Modeling Methods and Algorithms Statistical and Graphical Methods of Data Analysis > Robust Methods Statistical Models > Linear Models Statistical Models > Model Selection

Browse by Topic

Statistical and Graphical Methods of Data Analysis > Robust Methods
Statistical and Graphical Methods of Data Analysis > Modeling Methods and Algorithms
Statistical Models > Model Selection
Statistical Models > Linear Models

Access to this WIREs title is by subscription only.

Recommend to Your
Librarian Now!

The latest WIREs articles in your inbox

Sign Up for Article Alerts