Regression Depth and Support Vector Machine

Abstract

The regression depth method (RDM) proposed by Rousseeuw and Hubert [RH99] plays an important role in the area of robust regression for a continuous response variable. Christmann and Rousseeuw [CR01] showed that RDM is also useful for the case of binary regression. Vapnik’s convex risk minimization principle [Vap98] has a dominating role in statistical machine learning theory. Important special cases are the support vector machine (SVM), epsilon-support vector regression and kernel logistic regression. In this paper connections between these methods from different disciplines are investigated for the case of pattern recognition. Some results concerning the robustness of the SVM and other kernel based methods are given.