Robust Stability Best Subset Selection for Autocorrelated Data Based on Robust Location and Dispersion Estimator

Table 1

Selected variables, average RMSE, and percentage for each variable being selected for clean data (threshold = 71.41).

	Single-split-AIC	Single-split-BIC	Multisplit-AIC	Multisplit-BIC	R. multisplit-AIC	R. multisplit-BIC
RMSE	0.67	0.67	0.65	0.65	0.65	0.65
1	100	100	100	100	99.9	99.9
2	17.9	1.79	17.5	2.60	0.84	0.84
3	100	99.9	100	100	99.7	99.7
4	100	99.9	100	100	99.6	99.6
5	13	1.65	19.9	3.90	0.84	0.84
6	100	99.9	100	100	99.7	99.7
7	14	1.51	17.00	1.70	0.88	0.88
8	12	1.47	20.3	3.40	0.75	0.75
9	99.9	99.9	100	100	99.8	99.8
10	16.6	1.71	16.7	3.2	0.81	0.81
Selected variables	1, 3, 4, 6, 9	1, 3, 4, 6, 9	1, 3, 4, 6, 9	1, 3, 4, 6, 9	1, 3, 4, 6, 9	1, 3, 4, 6, 9