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Robust variable selection for finite mixture regression models

  • Qingguo Tang
  • R.  J. Karunamuni
Article
  • 276 Downloads

Abstract

Finite mixture regression (FMR) models are frequently used in statistical modeling, often with many covariates with low significance. Variable selection techniques can be employed to identify the covariates with little influence on the response. The problem of variable selection in FMR models is studied here. Penalized likelihood-based approaches are sensitive to data contamination, and their efficiency may be significantly reduced when the model is slightly misspecified. We propose a new robust variable selection procedure for FMR models. The proposed method is based on minimum-distance techniques, which seem to have some automatic robustness to model misspecification. We show that the proposed estimator has the variable selection consistency and oracle property. The finite-sample breakdown point of the estimator is established to demonstrate its robustness. We examine small-sample and robustness properties of the estimator using a Monte Carlo study. We also analyze a real data set.

Keywords

Finite mixture regression models Variable selection Minimum-distance methods 

Notes

Acknowledgements

We wish to thank the Chief Editor, Professor Kenji Fukumizu, an Associate Editor, and two reviewers for their helpful comments and suggestions that led to substantial improvements in this paper. Q. Tang’s research was supported in part by the National Social Science Foundation of China (16BTJ019) and Jiangsu Natural Science Foundation of China (BK20151481). R.J. Karunamuni’s research was supported by a grant from the Natural Sciences and Engineering Research Council of Canada.

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Copyright information

© The Institute of Statistical Mathematics, Tokyo 2017

Authors and Affiliations

  1. 1.School of Economics and ManagementNanjing University of Science and TechnologyNanjingChina
  2. 2.Department of Mathematical and Statistical SciencesUniversity of AlbertaEdmontonCanada

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