An algorithm-based multiple detection influence measure for high dimensional regression using expectile

TL;DR

This paper introduces a new three-step algorithm, asymMIP, for detecting multiple influential observations in high-dimensional regression data, overcoming limitations of existing methods especially in complex scenarios.

Contribution

The paper presents a novel multi-step detection algorithm based on expectiles and asymmetric correlations, improving detection power and computational efficiency in high-dimensional settings.

Findings

Higher detection power than existing methods

Effective in identifying multiple influential points

No need for bootstrap procedures

Abstract

The identification of influential observations is an important part of data analysis that can prevent erroneous conclusions drawn from biased estimators. However, in high dimensional data, this identification is challenging. Classical and recently-developed methods often perform poorly when there are multiple influential observations in the same dataset. In particular, current methods can fail when there is masking several influential observations with similar characteristics, or swamping when the influential observations are near the boundary of the space spanned by well-behaved observations. Therefore, we propose an algorithm-based, multi-step, multiple detection procedure to identify influential observations that addresses current limitations. Our three-step algorithm to identify and capture undesirable variability in the data, $\asymMIP,$ is based on two complementary statistics, inspired by asymmetric correlations, and built on expectiles. Simulations demonstrate higher detection power than competing methods. Use of the resulting asymptotic distribution leads to detection of influential observations without the need for computationally demanding procedures such as the bootstrap. The application of our method to the Autism Brain Imaging Data Exchange neuroimaging dataset resulted in a more balanced and accurate prediction of brain maturity based on cortical thickness. See our GitHub for a free R package that implements our algorithm: \texttt{asymMIP} (\url{github.com/AmBarry/hidetify}).