Depth weighted scatter estimators
From MaRDI portal
Abstract: General depth weighted scatter estimators are introduced and investigated. For general depth functions, we find out that these affine equivariant scatter estimators are Fisher consistent and unbiased for a wide range of multivariate distributions, and show that the sample scatter estimators are strong and sqrtn-consistent and asymptotically normal, and the influence functions of the estimators exist and are bounded in general. We then concentrate on a specific case of the general depth weighted scatter estimators, the projection depth weighted scatter estimators, which include as a special case the well-known Stahel-Donoho scatter estimator whose limiting distribution has long been open until this paper. Large sample behavior, including consistency and asymptotic normality, and efficiency and finite sample behavior, including breakdown point and relative efficiency of the sample projection depth weighted scatter estimators, are thoroughly investigated. The influence function and the maximum bias of the projection depth weighted scatter estimators are derived and examined. Unlike typical high-breakdown competitors, the projection depth weighted scatter estimators can integrate high breakdown point and high efficiency while enjoying a bounded-influence function and a moderate maximum bias curve. Comparisons with leading estimators on asymptotic relative efficiency and gross error sensitivity reveal that the projection depth weighted scatter estimators behave very well overall and, consequently, represent very favorable choices of affine equivariant multivariate scatter estimators.
Recommendations
- Projection based scatter depth functions and associated scatter estimators
- Reweighted estimators based on a depth function for the location and scatter of multivariate distributions.
- Bias-robust estimators of multivariate scatter based on projections
- A robust and efficient adaptive reweighted estimator of multivariate location and scatter.
- Influence function and maximum bias of projection depth based estimators.
Cites work
- A note on Tyler's modification of the MAD for the Stahel-Donoho estimator
- Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
- Asymptotics for the Tukey depth process, with an application to a multivariate trimmed mean
- Asymptotics of reweighted estimators of multivariate location and scatter
- Constrained \(M\)-estimation for multivariate location and scatter
- Convergence of stochastic processes
- Finite sample breakdown points of projection based multivariate location and scatter statistics
- General notions of statistical depth function.
- scientific article; zbMATH DE number 3886886 (Why is no real title available?)
- scientific article; zbMATH DE number 3829050 (Why is no real title available?)
- scientific article; zbMATH DE number 3954047 (Why is no real title available?)
- scientific article; zbMATH DE number 3986407 (Why is no real title available?)
- scientific article; zbMATH DE number 3541764 (Why is no real title available?)
- scientific article; zbMATH DE number 799995 (Why is no real title available?)
- Influence function and maximum bias of projection depth based estimators.
- Influence function of halfspace depth
- Limit theorems for the simplicial depth
- Lower bounds for contamination bias: Globally minimax versus locally linear estimation
- Min-max bias robust regression
- Multivariate analysis by data depth: Descriptive statistics, graphics and inference. (With discussions and rejoinder)
- On a notion of data depth based on random simplices
- On the projections of isotropic distributions
- On the relation between S-estimators and M-estimators of multivariate location and covariance
- On the Stahel-Donoho estimator and depth-weighted means of multivariate data.
- Projection-based depth functions and associated medians
- Radial estimates and the test for sphericity
- Robust Estimation of a Location Parameter
- Robust m-estimators of multivariate location and scatter
- Robustness and efficiency properties of scatter matrices
- Robustness of weighted \(L^p\)-depth and \(L^p\)-median
- Structural properties and convergence results for contours of sample statistical depth functions.
- The Behavior of the Stahel-Donoho Robust Multivariate Estimator
- The influence function and maximum bias of Tukey's median
- Weak convergence and empirical processes. With applications to statistics
Cited in
(23)- Robust learning from bites for data mining
- Differentiability of \(t\)-functionals of location and scatter
- Projection based scatter depth functions and associated scatter estimators
- Robust depth-based estimation of the functional autoregressive model
- Asymptotics of generalized depth-based spread processes and applications
- Robust covariance and scatter matrix estimation under Huber's contamination model
- Influence function and maximum bias of projection depth based estimators.
- On weighted multivariate sign functions
- Strong consistency and robustness of the forward search estimator of multivariate location and scatter
- Empirical depth processes
- Influence functions and efficiencies of the canonical correlation and vector estimates based on scatter and shape matrices
- Reweighted estimators based on a depth function for the location and scatter of multivariate distributions.
- Robust Estimation of Multivariate Linear Model Based on Depth Weighted Mean and Scatter
- Central limit theorem and influence function for the MCD estimators at general multivariate distributions
- Robustness of the affine equivariant scatter estimator based on the spatial rank covariance matrix
- Discussion of: ``The power of monitoring: how to make the most of a contaminated multivariate sample
- Depth-weighted means of noisy data: an application to estimating the average effect in heterogeneous panels
- scientific article; zbMATH DE number 7800975 (Why is no real title available?)
- Non-convex penalized multitask regression using data depth-based penalties
- Overview of robust variable selection methods for high-dimensional linear regression model
- Robust mean-variance portfolio through the weighted L^p depth function
- Computing projection depth and its associated estimators
- Robust tests for the common principal components model
This page was built for publication: Depth weighted scatter estimators
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1781165)
