Robust kernel ridge regression based on M-estimation |
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Authors: | Antoni Wibowo |
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Institution: | (1) Department of Statistics and Actuarial Science, University of Iowa, 241 Schaeffler Hall, 52242 Iowa City, IA, USA;(2) Department of Statistics, Rutgers University, Hill Center, Busch Campus, 08854 Piscataway, NJ, USA |
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Abstract: | Ridge regression (RR) and kernel ridge regression (KRR) are important tools to avoid the effects of multicollinearity. However,
the predictions of RR and KRR become inappropriate for use in regression models when data are contaminated by outliers. In
this paper, we propose an algorithm to obtain a nonlinear robust prediction without specifying a nonlinear model in advance.
We combine M-estimation and kernel ridge regression to obtain the nonlinear prediction. Then, we compare the proposed method
with some other methods. |
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Keywords: | |
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