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

Table 4

Selected variables, average RMSE, and percentage chance for each variable being selected, for air quality data (threshold = 67.08).

	Single-split-AIC	Single-split-BIC	Multisplit-AIC	Multisplit-BIC	R. multisplit-AIC	R. multisplit-BIC
RMSE	0.51	0.51	0.51	0.51	0.4	0.4
WS	8.53	0.4	24.24	0.64	23.07	6.6
WD	100	76.86	73.34	14.24	100	99.77
Temp	100	100	100	100	100	100
Hum	100	100	100	100	100	100
	91	45.93	79.30	61.22	54.43	26.3
NO	96.5	47.8	87.66	67.54	49.6	24.63
	89.23	13.63	7.12	0.06	99.93	91.33
	10.46	54.36	32.42	47.06	71	84.77
	100	100	100	100	100	100
CO	100	100	100	100	100	100
Selected variables	2, 3, 4, 5, 6, 7, 9, 10	2, 3, 4, 9, 10	2, 3, 4, 5, 6, 9, 10	3, 4, 5, 8, 9	2, 3, 4, 7, 8, 9, 10	2, 3, 4, 7, 8, 9, 10