An evolutionary algorithm for robust regression

Authors:
Robin Nunkesser;Oliver Morell
Affiliations:
Faculty of Computer Science, TU Dortmund University, Germany;Faculty of Statistics, TU Dortmund University, Germany
Venue:
Computational Statistics & Data Analysis
Year:
2010

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Abstract

A drawback of robust statistical techniques is the increased computational effort often needed as compared to non-robust methods. Particularly, robust estimators possessing the exact fit property are NP-hard to compute. This means that-under the widely believed assumption that the computational complexity classes NP and P are not equal-there is no hope to compute exact solutions for large high dimensional data sets. To tackle this problem, search heuristics are used to compute NP-hard estimators in high dimensions. A new evolutionary algorithm that is applicable to different robust estimators is presented. Further, variants of this evolutionary algorithm for selected estimators-most prominently least trimmed squares and least median of squares-are introduced and shown to outperform existing popular search heuristics in difficult data situations. The results increase the applicability of robust methods and underline the usefulness of evolutionary algorithms for computational statistics.