Robust multivariate estimation based on statistical depth filters

DOI10.1007/S11749-021-00757-ZzbMATH Open1480.62103arXiv1909.04325OpenAlexW2972680577MaRDI QIDQ2074682FDOQ2074682

Authors: Giovanni Saraceno, Claudio Agostinelli 

Publication date: 10 February 2022

Published in: Test (Search for Journal in Brave)

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.

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

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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)

Cites Work

• Fast nonparametric classification based on data depth
• Propagation of outliers in multivariate data
• Breakdown properties of location estimates based on halfspace depth and projected outlyingness
• The skew-normal and related families. With the collaboration of Antonella Capitanio.
• Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination
• Robust Statistics
• The random Tukey depth
• General notions of statistical depth function.
• On a notion of data depth based on random simplices
• Exact computation of the halfspace depth
• Robust Estimation of Multivariate Location and Scatter in the Presence of Missing Data
• Structural properties and convergence results for contours of sample statistical depth functions.
• A class of robust and fully efficient regression estimators
• Rejoinder on: ``Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination
• Multivariate location and scatter matrix estimation under cellwise and casewise contamination

Cited In (1)

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

Uses Software

• R
• robustbase
• sn
• GSE

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