On the Stahel-Donoho estimator and depth-weighted means of multivariate data.

DOI10.1214/AOS/1079120132zbMath1105.62349OpenAlexW2020459771MaRDI QIDQ1884609

Xuming He, Heng-Jian Cui, YiJun Zuo

Publication date: 5 November 2004

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1079120132

zbMATH Keywords

robustnessasymptotic normalityefficiencydepth\(L\)-estimatorbreakdown pointprojection depth

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (40)

Robust mean-variance portfolio through the weighted \(L^p\) depth function ⋮ Robust mixture regression using the \(t\)-distribution ⋮ Influence function and maximum bias of projection depth based estimators. ⋮ Employing the MCMC technique to compute the projection depth in high dimensions ⋮ Adaptive trimmed mean as a location estimate ⋮ EDF goodness-of-fit tests based on centre-outward ordering ⋮ Robust and efficient estimation of multivariate scatter and location ⋮ Tukey Depths and Hamilton--Jacobi Differential Equations ⋮ Robust estimating equation based on statistical depth ⋮ Multidimensional trimming based on projection depth ⋮ Stahel-Donoho kernel estimation for fixed design nonparametric regression models ⋮ Simulated annealing for higher dimensional projection depth ⋮ Smart network based portfolios ⋮ Computing projection depth and its associated estimators ⋮ Depth-weighted means of noisy data: an application to estimating the average effect in heterogeneous panels ⋮ Central limit theorem and influence function for the MCD estimators at general multivariate distributions ⋮ High-breakdown robust multivariate methods ⋮ Exact computation of bivariate projection depth and the Stahel-Donoho estimator ⋮ An Extended Projection Data Depth and Its Applications to Discrimination ⋮ Data depth based on spatial rank. ⋮ Projection-based depth functions and associated medians ⋮ A note on weak convergence of general halfspace depth trimmed means ⋮ Robust functional sliced inverse regression ⋮ Empirical depth processes ⋮ Multivariate trimmed means based on the Tukey depth ⋮ Halfspace depth and floating body ⋮ Depth weighted scatter estimators ⋮ Influence functions of some depth functions, and application to depth-weighted L-statistics ⋮ Stahel-Donoho estimators with cellwise weights ⋮ The influence function of the Stahel-Donoho covariance estimator of smallest outlyingness ⋮ Stahel–Donoho estimation for high-dimensional data ⋮ Discussion ⋮ Robust Estimation of Multivariate Linear Model Based on Depth Weighted Mean and Scatter ⋮ Robustness of the deepest projection regression functional ⋮ Quantile functions for multivariate analysis: approaches and applications ⋮ Projection based scatter depth functions and associated scatter estimators ⋮ On a robust and efficient maximum depth estimator ⋮ Robust depth-weighted wavelet for nonparametric regression models ⋮ Trimmed and Winsorized transformed means based on a scaled deviation ⋮ The influence function of the Stahel--Donoho estimator of multivariate location and scatter.

Cites Work

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• Limit theorems for \(U\)-processes
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• A local breakdown property of robust tests in linear regression
• Limit theorems for the simplicial depth
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• Finite sample breakdown points of projection based multivariate location and scatter statistics
• Convergence of depth contours for multivariate datasets
• A note on Tyler's modification of the MAD for the Stahel-Donoho estimator
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• Multivariate analysis by data depth: Descriptive statistics, graphics and inference. (With discussions and rejoinder)
• Asymptotic distributions of the maximal depth estimators for regression and multivariate location
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• Constrained \(M\)-estimation for multivariate location and scatter
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• Regression Depth
• A Quality Index Based on Data Depth and Multivariate Rank Tests
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• Convergence of stochastic processes

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