Propagation of outliers in multivariate data

DOI10.1214/07-AOS588zbMATH Open1155.62043arXiv0903.0447MaRDI QIDQ1002160FDOQ1002160

Authors: Fatemah Alqallaf, Ruben H. Zamar, Stefan Van Aelst, Victor J. Yohai 

Publication date: 25 February 2009

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

Abstract: We investigate the performance of robust estimates of multivariate location under nonstandard data contamination models such as componentwise outliers (i.e., contamination in each variable is independent from the other variables). This model brings up a possible new source of statistical error that we call "propagation of outliers." This source of error is unusual in the sense that it is generated by the data processing itself and takes place after the data has been collected. We define and derive the influence function of robust multivariate location estimates under flexible contamination models and use it to investigate the effect of propagation of outliers. Furthermore, we show that standard high-breakdown affine equivariant estimators propagate outliers and therefore show poor breakdown behavior under componentwise contamination when the dimension $d$ is high.

Full work available at URL: https://arxiv.org/abs/0903.0447

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zbMATH Keywords

robustnessinfluence functionbreakdown pointcontamination modelindependent contamination

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

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