Multivariate location and scatter matrix estimation under cellwise and casewise contamination
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Abstract: We consider the problem of multivariate location and scatter matrix estimation when the data contain cellwise and casewise outliers. Agostinelli et al. (2015) propose a two-step approach to deal with this problem: first, apply a univariate filter to remove cellwise outliers and second, apply a generalized S-estimator to downweight casewise outliers. We improve this proposal in three main directions. First, we introduce a consistent bivariate filter to be used in combination with the univariate filter in the first step. Second, we propose a new fast subsampling procedure to generate starting points for the generalized S-estimator in the second step. Third, we consider a non-monotonic weight function for the generalized S-estimator to better deal with casewise outliers in high dimension. A simulation study and real data example show that, unlike the original two-step procedure, the modified two-step approach performs and scales well for high dimension. Moreover, the modified procedure outperforms the original one and other state-of-the-art robust procedures under cellwise and casewise data contamination.
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Cited in
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- Robust regression with compositional covariates including cellwise outliers
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- Rejoinder on: ``Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination
- Evaluation of robust outlier detection methods for zero-inflated complex data
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- Robust Multivariate Functional Control Chart
- A componentwise estimation procedure for multivariate location and scatter: robustness, efficiency and scalability
- Robust analysis of spatio-temporal inequality with inverse entropy
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