0510771 20240103222900.420191111235959.9 10.18267/pr.2019.los.186.61 10 s. E cav_un_epca*0510552978-80-87990-18-6617-626SlanýMelandrium2019LösterT.PavelkaT. model choice computational statistics robustness variable selection cav_un_auth*0345793 Kalina Jan UTIA-B Stochastická informatika Department of Stochastic Informatics SI SI Department of Stochastic Informatics Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0382123 Neoral A. CZ http://library.utia.cas.cz/separaty/2019/SI/kalina-0510771.pdf GA17-07384S GA ČR cav_un_auth*0345381 Metalearning represents a useful methodology for selecting and recommending a suitable algorithm or method for a new dataset exploiting a database of training datasets. While metalearning is potentially beneficial for the analysis of economic data, we must be aware of its instability and sensitivity to outlying measurements (outliers) as well as measurement errors. The aim of this paper is to robustify the metalearning process. First, we prepare some useful theoretical tools exploiting the idea of implicit weighting, inspired by the least weighted squares estimator. These include a robust coefficient of determination, a robust version of mean square error, and a simple rule for outlier detection in linear regression. We perform a metalearning study for recommending the best linear regression estimator for a new dataset (not included in the training database). The prediction of the optimal estimator is learned over a set of 20 real datasets with economic motivation, while the least squares are compared with several (highly) robust estimators. We investigate the effect of variable selection on the metalearning results. If the training as well as validation data are considered after a proper robust variable selection, the metalearning performance is improved remarkably, especially if a robust prediction error is used. cav_un_auth*0382124 International Days of Statistics and Economics /13./ 20190905 20190907 Prague CZ BA 10000 10100 10101 2020 PR RVO:67985556 http://hdl.handle.net/11104/0301154 S 2019 SCOPUS PUBMED WOS cav_un_epca*0510552 The 13th International Days of Statistics and Economics Conference Proceedings 978-80-87990-18-6 617 626 Slaný Melandrium 2019 340 Löster T. 340 Pavelka T.