INVESTIGADORES
BOENTE BOENTE Graciela Lina
congresos y reuniones científicas
Título:
Penalized M-estimators for Logistic Regression
Autor/es:
BIANCO, ANA; BOENTE, GRACIELA; CHEBI, GONZALO
Lugar:
Pireus
Reunión:
Simposio; International Symposium on Business and Industrial Statistics; 2018
Institución organizadora:
International Society for Business and Industrial Statistics
Resumen:
We introduce a family of penalized M-type estimators for the logistic regression parameter that are stable against atypical data. We explore different penalizations functions and we introduce the so-called sign penalization. Thisnew penalty has the advantage that it does not shrink the estimated coefficients to 0 and that it depends on only one parameter.Theoretical results regarding oracle properties as well as consistency and asymptotic distribution results are studied. Through a numerical study, we compare the finite sample performance of the proposal with different penalized estimators either robust and classical in different scenarios including clean and contaminated samples.
