[Statlist] RESEARCH SEMINAR IN STATISTICS - UNIVERSITY OF GENEVA

[Eva Cantoni]

RESEARCH SEMINAR IN STATISTICS - UNIVERSITY OF GENEVA

Organisers : .
E. Cantoni - E. Ronchetti - S. Sperlich - M-P. Victoria-Feser

Friday March 14th, 2014
at 11h15
Room M 5220, Uni Mail (40, bd du Pont-d'Arve)

Marco AVELLA MEDINA
Université de Genève

Robust and consistent variable selection in generalized linear and 
additive models

Abstract:
Generalized Linear Models (GLM) and Generalized Additive Models (GAM) 
are popular statistical methods for modelling continuous and discrete 
data both parametrically and nonparametrically. In this general 
framework we consider the problem of variable selection through 
penalized methods by focusing on resistance issues in the presence of 
outlying data and other deviations from the stochastic assumptions. We 
propose robust penalized M-estimators and study their asymptotic 
properties. In particular we show that robust counterparts of the 
adaptive lasso and the nonnegative garrote satisfy the oracle 
properties. Our results extend the available theory from linear models 
to GLM and GAM, and from L2-based estimation to robust estimation. 
Finally, we illustrate the final sample performance of the method by a 
simulation study in a Poisson regression setting.


http://www.stat-center.unige.ch/ResSem.html


-- 
Prof. Eva Cantoni
Research Center for Statistics and
      Geneva School of Economics and Management
University of Geneva, Bd du Pont d'Arve 40, CH-1211 Genève 4
http://www.unige.ch/ses/dsec/staff/faculty/Cantoni-Eva.html