Unified methods for variable selection and outlier detection in a linear regression

Abstract

The problem of selecting variables in the presence of outliers is considered. Variable selection and outlier detection are not separable problems because each observation a ff ects the fitted regression equation di ff erently and has a di ff erent influence on each variable. We suggest a simultaneous method for variable selection and outlier detection in a linear regression model. The suggested procedure uses a sequential method to detect outliers and uses all possible subset regressions for model selections. A simplified version of the procedure is also proposed to reduce the computational burden. The procedures are compared to other variable selection methods using real data sets known to contain outliers. Examples show that the proposed procedures are e ff ective and superior to robust algorithms in selecting the best model.