Robust Switching Regressions Using the Laplace Distribution

Kang Ping Lu, Shao Tung Chang*

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

1 引文 斯高帕斯(Scopus)

摘要

This paper presents a robust method for dealing with switching regression problems. Regression models with switch-points are broadly employed in diverse areas. Many traditional methods for switching regressions can falter in the presence of outliers or heavy-tailed distributions because of the modeling assumptions of Gaussian errors. The outlier corruption of datasets is often unavoidable. When misapplied, the Gaussian assumption can lead to incorrect inference making. The Laplace distribution is known as a longer-tailed alternative to the normal distributions and connected with the robust least absolute deviation regression criterion. We propose a robust switching regression model of Laplace distributed errors. To advance robustness, we extend the Laplace switching model to a fuzzy class model and create a robust algorithm named FCL through the fuzzy classification maximum likelihood procedure. The robustness properties and the advance of resistance against high-leverage outliers are discussed. Simulations and sensitivity analyses illustrate the effectiveness and superiority of the proposed algorithm. The experimental results indicate that FCL is much more robust than the EM-based algorithm. Furthermore, the Laplace-based algorithm is more time-saving than the t-based procedure. Diverse real-world applications demonstrate the practicality of the proposed approach.

原文英語
文章編號4722
期刊Mathematics
10
發行號24
DOIs
出版狀態已發佈 - 2022 12月

ASJC Scopus subject areas

  • 電腦科學(雜項)
  • 一般數學
  • 工程(雜項)

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