Robust statistical boosting with quantile-based adaptive loss functions

We combine robust loss functions with statistical boosting algorithms in an adaptive way to perform variable selection and predictive modelling for potentially high-dimensional biomedical data. To achieve robustness against outliers in the outcome variable (vertical outliers), we consider different composite robust loss functions together with base-learners for linear regression. For composite loss functions, such as the Huber loss and the Bisquare loss, a threshold parameter has to be specified that controls the robustness. In the context of boosting algorithms, we propose an approach that adapts the threshold parameter of composite robust losses in each iteration to the current sizes of residuals, based on a fixed quantile level. We compared the performance of our approach to classical M-regression, boosting with standard loss functions or the lasso regarding prediction accuracy and variable selection in different simulated settings: the adaptive Huber and Bisquare losses led to a better performance when the outcome contained outliers or was affected by specific types of corruption. For non-corrupted data, our approach yielded a similar performance to boosting with the efficient L 2 loss or the lasso. Also in the analysis of skewed KRT19 protein expression data based on gene expression measurements from human cancer cell lines (NCI-60 cell line panel), boosting with the new adaptive loss functions performed favourably compared to standard loss functions or competing robust approaches regarding prediction accuracy and resulted in very sparse models.