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

Table 2

Selected variables, average RMSE, and percentage for each variable being selected for high leverage and vertical outliers (threshold = 71.41).

	Single-split-AIC	Single-split-BIC	Multisplit-AIC	Multisplit-BIC	R. multisplit-AIC	R. multisplit-BIC
RMSE	0.039	0.039	21.93	22.29	0.036	0.036
1	100	100	43.6	16.5	100	100
2	99.89	97.72	28.7	5.4	2.16	2.16
3	100	100	66.7	45.4	100	100
4	100	100	49.6	25.2	100	100
5	17.22	1.72	97.5	78.1	1.04	1.04
6	100	100	100	99.9	100	100
7	15.8	2.08	16.8	2.8	0.49	0.49
8	19.38	2.79	16.3	3.4	1.31	1.31
9	100	100	97.1	92.3	99.9	99.9
10	16.65	2.66	16.2	2.1 0	1.27	1.27
Selected variables	1, 2, 3, 4, 6, 9	1, 2, 3, 4, 6, 9	5, 6, 9	5, 6, 9	1, 3, 4, 6, 9	1, 3, 4, 6, 9