Least sum of squares of trimmed residuals regression

DOI10.1214/23-EJS2164arXiv2202.10329OpenAlexW4387465005MaRDI QIDQ6184883FDOQ6184883

Authors: Yijun Zuo, Hanwen Zuo 

Publication date: 5 January 2024

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: In the famous least sum of trimmed squares (LTS) of residuals estimator (Rousseeuw (1984)), residuals are first squared and then trimmed. In this article, we first trim residuals - using a depth trimming scheme - and then square the rest of residuals. The estimator that can minimize the sum of squares of the trimmed residuals, is called an LST estimator. It turns out that LST is a robust alternative to the classic least sum of squares (LS) estimator. Indeed, it has a very high finite sample breakdown point, and can resist, asymptotically, up to $50\mathrm{\%}$ contamination without breakdown - in sharp contrast to the $0\mathrm{\%}$ of the LS estimator. The population version of LST is Fisher consistent, and the sample version is strong and root-$n$ consistent and asymptotically normal. Approximate algorithms for computing LST are proposed and tested in synthetic and real data examples. These experiments indicate that one of the algorithms can compute the LST estimator very fast and with relatively smaller variances than the famous LTS estimator. All the evidence suggests that LST deserves to be a robust alternative to the LS estimator and is feasible in practice for high dimensional data sets (with possible contamination and outliers).

Full work available at URL: https://arxiv.org/abs/2202.10329

zbMATH Keywords

consistencyrobust regressionfinite sample breakdown pointtrimmed residualsapproximate computation algorithm

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Linear inference, regression (62J99) Nonparametric inference (62G99)

Cites Work

• Weak convergence and empirical processes. With applications to statistics
• Approximation Theorems of Mathematical Statistics
• Title not available (Why is that?)
• Asymptotic Statistics
• Title not available (Why is that?)
• Robust regression: Asymptotics, conjectures and Monte Carlo
• Robust Estimation of a Location Parameter
• Breakdown properties of location estimates based on halfspace depth and projected outlyingness
• Hedonic housing prices and the demand for clean air
• Maximal inequalities for degenerate \(U\)-processes with applications to optimization estimators
• Least Median of Squares Regression
• Title not available (Why is that?)
• Title not available (Why is that?)
• Robust Statistics
• High breakdown-point and high efficiency robust estimates for regression
• Convergence of stochastic processes
• General notions of statistical depth function.
• Trimmed Least Squares Estimation in the Linear Model
• Regression Depth
• Title not available (Why is that?)
• Projection-based depth functions and associated medians
• Title not available (Why is that?)
• Title not available (Why is that?)
• Cube root asymptotics
• Title not available (Why is that?)
• One-Step Huber Estimates in the Linear Model
• The least trimmed squares. I: Consistency.
• The least trimmed squares. II: \(\sqrt {n}\)-consistency
• The least trimmed squares. III: Asymptotic normality.
• Improved feasible solution algorithms for high breakdown estimation.
• High Breakdown-Point Estimates of Regression by Means of the Minimization of an Efficient Scale
• The influence functions for the least trimmed squares and the least trimmed absolute deviations estimators
• The Limiting Distribution of the Maximum Rank Correlation Estimator
• The anonymous professor Gergonne
• The Least Trimmed Differences Regression Estimator and Alternatives
• The feasible solution algorithm for least trimmed squares regression
• Multidimensional trimming based on projection depth
• Trimmed and Winsorized means based on a scaled deviation
• A new approach for the computation of halfspace depth in high dimensions
• The trimmed mean in the linear model
• On general notions of depth for regression
• Large sample properties of the regression depth induced median
• Computation of projection regression depth and its induced median
• Robustness of the deepest projection regression functional
• The influence function of penalized regression estimators

Cited In (4)

• Multivariate least-trimmed squares regression estimator
• Trimmed slope estimates for simple linear regression
• Least squares residuals and minimal residual methods
• Title not available (Why is that?)

This page was built for publication: Least sum of squares of trimmed residuals regression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6184883)