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

Table 3

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

	Single-split-AIC	Single-split-BIC	Multisplit-AIC	Multisplit-BIC	R. multisplit-AIC	R. multisplit-BIC
RMSE	0.663	0.663	0.23	0.23	0.212	0.212
1	91.18	87.54	92.1	96.7	100	100
2	16.97	3.69	15.8	6.0	1.136	1.136
3	76.36	63.75	91.0	81.9	100	100
4	88.45	84.26	89.8	75.1	100	100
5	18.07	4.21	18.3	6.4	1.22	1.22
6	85.88	78.71	93.6	96.8	100	100
7	17.88	3.28	15.4	3.5	1.21	1.21
8	158	3.02	17.8	3.3	0.78	0.78
9	68.45	51.92	91.5	96.5	99.5	99.5
10	18.33	3.696	17.9	4.6	0.95	0.95
Selected variables	1, 3, 4, 6	1, 4, 6	1, 3, 4, 6, 9	1, 3, 4, 6, 9	1, 3, 4, 6, 9	1, 3, 4, 6, 9