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Posted to issues@spark.apache.org by "Fan Jiang (JIRA)" <ji...@apache.org> on 2014/08/23 02:00:13 UTC
[jira] [Created] (SPARK-3188) Add Robust Regression Algorithm with
Turkey bisquare weight function (Biweight Estimates)
Fan Jiang created SPARK-3188:
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Summary: Add Robust Regression Algorithm with Turkey bisquare weight function (Biweight Estimates)
Key: SPARK-3188
URL: https://issues.apache.org/jira/browse/SPARK-3188
Project: Spark
Issue Type: New Feature
Components: MLlib
Affects Versions: 1.0.2
Reporter: Fan Jiang
Priority: Critical
Fix For: 1.1.1, 1.2.0
Linear least square estimates assume the error has normal distribution and can behave badly when the errors are heavy-tailed. In practical we get various types of data. We need to include Robust Regression to employ a fitting criterion that is not as vulnerable as least square.
The Turkey bisquare weight function, also referred to as the biweight function, produces and M-estimator that is more resistant to regression outliers than the Huber M-estimator ()Andersen 2008: 19).
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