README.md
In robustlm: Robust Variable Selection with Exponential Squared Loss

robustlm

The goal of robustlm is to carry out robust variable selection through exponential squared loss. Specifically, it solves the following optimization problem:

[ \arg\min_{\beta} \sum_{i=1}^n(1-\exp{-(y_i-x_i^T\beta)^2/\gamma_n})+n\sum_{i=1}^d \lambda_{n j}|\beta_{j}|. ]

We use the adaptive LASSO penalty. Regularization parameters are chosen adaptively by default, while they can be supplied by the user. Block coordinate gradient descent algorithm is used to efficiently solve the optimization problem.

This is a basic example which shows you how to use this package. First, we generate data which contain influential points in the response:

set.seed(1)
library(MASS)
N <- 1000
p <- 8
rho <- 0.5
beta_true <- c(1, 1.5, 2, 1, 0, 0, 0, 0)
H <- abs(outer(1:p, 1:p, "-"))
V <- rho^H
X <- mvrnorm(N, rep(0, p), V)

# generate error term from a mixture normal distribution
components <- sample(1:2, prob=c(0.8, 0.2), size=N, replace=TRUE)
mus <- c(0, 10)
sds <- c(1, 6)
err <- rnorm(n=N,mean=mus[components],sd=sds[components])

Y <- X %*% beta_true + err

We apply robustlm function to select important variables:

library(robustlm)
robustlm1 <- robustlm(X, Y)
robustlm1
#> $beta
#> [1] 0.9411568 1.5839011 2.0716890 0.9489619 0.0000000 0.0000000 0.0000000
#> [8] 0.0000000
#> 
#> $alpha
#> [1] 0
#> 
#> $gamma
#> [1] 8.3
#> 
#> $weight
#> [1]   87.140346    7.033846    4.340160    3.343782    6.833033  703.863830
#> [7]  193.860493  858.412613 2183.876884
#> 
#> $loss
#> [1] 250.3821

The estimated regression coefficients $(0.94, 1.58, 2.07, 0.95, 0.00, 0.00, 0.00, 0.00)$ are close to the true values$(1, 1.5, 2, 1, 0, 0, 0, 0)$. There is no mistaken selection or discard.