Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629960
Title: Regularized and robust regression methods for high dimensional data
Author: Hashem, Hussein Abdulahman
ISNI:       0000 0004 5351 3037
Awarding Body: Brunel University
Current Institution: Brunel University
Date of Award: 2014
Availability of Full Text:
Access from EThOS:
Access from Institution:
Abstract:
Recently, variable selection in high-dimensional data has attracted much research interest. Classical stepwise subset selection methods are widely used in practice, but when the number of predictors is large these methods are difficult to implement. In these cases, modern regularization methods have become a popular choice as they perform variable selection and parameter estimation simultaneously. However, the estimation procedure becomes more difficult and challenging when the data suffer from outliers or when the assumption of normality is violated such as in the case of heavy-tailed errors. In these cases, quantile regression is the most appropriate method to use. In this thesis we combine these two classical approaches together to produce regularized quantile regression methods. Chapter 2 shows a comparative simulation study of regularized and robust regression methods when the response variable is continuous. In chapter 3, we develop a quantile regression model with a group lasso penalty for binary response data when the predictors have a grouped structure and when the data suffer from outliers. In chapter 4, we extend this method to the case of censored response variables. Numerical examples on simulated and real data are used to evaluate the performance of the proposed methods in comparisons with other existing methods.
Supervisor: Vinciotti, V.; Yu, K. Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.629960  DOI: Not available
Keywords: Group lasso ; Quantile regression ; Binary regression ; Tobit regression ; Bayesian regression
Share: