Non-asymptotic robustness analysis of regression depth median

DOI10.1016/J.JMVA.2023.105247arXiv2009.00646MaRDI QIDQ6183697FDOQ6183697

Authors: Yijun Zuo 

Publication date: 4 January 2024

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: The maximum depth estimator (aka depth median) ($$) induced from regression depth (RD) of Rousseeuw and Hubert (1999) (RH99) is one of the most prevailing estimators in regression. It possesses outstanding robustness similar to the univariate location counterpart. Indeed, $$ can, asymptotically, resist up to $33\mathrm{\%}$ contamination without breakdown, in contrast to the $0\mathrm{\%}$ for the traditional (least squares and least absolute deviations) estimators (see Van Aelst and Rousseeuw, 2000) (VAR00)). The results from VAR00 are pioneering, yet they are limited to regression-symmetric populations (with a strictly positive density) and the $epsilon$-contamination and maximum-bias model. With a fixed finite-sample size practice, the most prevailing measure of robustness for estimators is the finite-sample breakdown point (FSBP) (Donoho and Huber (1983)). Despite many attempts made in the literature, only sporadic partial results on FSBP for $$ were obtained whereas an exact FSBP for $$ remained open in the last twenty-plus years. Furthermore, is the asymptotic breakdown value $1/3$ (the limit of an increasing sequence of finite-sample breakdown values) relevant in the finite-sample practice? (Or what is the difference between the finite-sample and the limit breakdown values?). Such discussions are yet to be given in the literature. This article addresses the above issues, revealing an intrinsic connection between the regression depth of $$ and the newly obtained exact FSBP. It justifies the employment of $$ as a robust alternative to the traditional estimators and demonstrates the necessity and the merit of using the FSBP in finite-sample real practice.

Full work available at URL: https://arxiv.org/abs/2009.00646

zbMATH Keywords

finite-sample breakdown pointregression depthregression medianmaximum regression depth estimatornon-asymptotic robustness analysis

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric robustness (62G35) Robustness and adaptive procedures (parametric inference) (62F35) Multivariate analysis (62Hxx)

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