Weighted Wilcoxon-type smoothly clipped absolute deviation method.

ABSTRACT:

Summary

Shrinkage-type variable selection procedures have recently seen increasing applications in biomedical research. However, their performance can be adversely influenced by outliers in either the response or the covariate space. This article proposes a weighted Wilcoxon-type smoothly clipped absolute deviation (WW-SCAD) method, which deals with robust variable selection and robust estimation simultaneously. The new procedure can be conveniently implemented with the statistical software R. We establish that the WW-SCAD correctly identifies the set of zero coefficients with probability approaching one and estimates the nonzero coefficients with the rate n(-1/2). Moreover, with appropriately chosen weights the WW-SCAD is robust with respect to outliers in both the x and y directi

SUBMITTER: Wang L 

PROVIDER: S-EPMC2700846 | biostudies-literature | 2009 Jun

REPOSITORIES: biostudies-literature