Robust multivariate estimation based on statistical depth filters

DOI10.1007/S11749-021-00757-ZMaRDI QIDQ2074682zbMATH OpenOpenAlexFDO

Authors Giovanni Saraceno, Claudio Agostinelli

Publication date 10 February 2022

Published in Test (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1909.04325

zbMATH Keywords

robust statisticsfiltersstatistical depth functionscase-wise contaminationcell-wise contamination

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric robustness (62G35) Estimation in multivariate analysis (62H12)

Abstract: In the classical contamination models, such as the gross-error (Huber and Tukey contamination model or Case-wise Contamination), observations are considered as the units to be identified as outliers or not. This model is very useful when the number of considered variables is moderately small. Alqallaf et al. [2009] shows the limits of this approach for a larger number of variables and introduced the Independent contamination model (Cell-wise Contamination) where now the cells are the units to be identified as outliers or not. One approach to deal, at the same time, with both type of contamination is filter out the contaminated cells from the data set and then apply a robust procedure able to handle case-wise outliers and missing values. Here we develop a general framework to build filters in any dimension based on statistical data depth functions. We show that previous approaches, e.g. Agostinelli et al. [2015a] and Leung et al. [2017], are special cases. We illustrate our method by using the half-space depth.

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Cites work

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• Robust Estimation of Multivariate Location and Scatter in the Presence of Missing Data
• Robust Statistics
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• The random Tukey depth
• The skew-normal and related families. With the collaboration of Antonella Capitanio.

Cited in

(1)

• Multivariate location and scatter matrix estimation under cellwise and casewise contamination

Describes a project that uses

Uses Software

• GSE
• sn
• robustbase
• R

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