Robust and Sparse Multinomial Regression in High Dimensions
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A robust and sparse estimator for multinomial regression is proposed for high dimensional data. Robustness of the estimator is achieved by trimming the observations, and sparsity of the estimator is obtained by the elastic net penalty, which is a mixture of L_1 and L_2 penalties. From this point of view, the proposed estimator is an extension of the enet-LTS estimator <cit.> for linear and logistic regression to the multinomial regression setting. After introducing an algorithm for its computation, a simulation study is conducted to show the performance in comparison to the non-robust version of the multinomial regression estimator. Some real data examples underline the usefulness of this robust estimator.
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