Robust estimation for multivariate wrapped models

DOI10.1007/S40300-021-00214-9zbMATH Open1484.62065arXiv2010.08444OpenAlexW3174405455MaRDI QIDQ824974FDOQ824974

Authors: Giovanni Saraceno, Claudio Agostinelli, Luca Greco 

Publication date: 16 December 2021

Published in: Metron (Search for Journal in Brave)

Abstract: A weighted likelihood technique for robust estimation of a multivariate Wrapped Normal distribution for data points scattered on a p-dimensional torus is proposed. The occurrence of outliers in the sample at hand can badly compromise inference for standard techniques such as maximum likelihood method. Therefore, there is the need to handle such model inadequacies in the fitting process by a robust technique and an effective down-weighting of observations not following the assumed model. Furthermore, the employ of a robust method could help in situations of hidden and unexpected substructures in the data. Here, it is suggested to build a set of data-dependent weights based on the Pearson residuals and solve the corresponding weighted likelihood estimating equations. In particular, robust estimation is carried out by using a Classification EM algorithm whose M-step is enhanced by the computation of weights based on current parameters' values. The finite sample behavior of the proposed method has been investigated by a Monte Carlo numerical studies and real data examples.

Full work available at URL: https://arxiv.org/abs/2010.08444

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zbMATH Keywords

CEM algorithmtorusweighted likelihoodrobust estimatorsPearson residualsmultivariate wrapped distributions

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited In (6)

• Finite Mixtures of Multivariate Wrapped Normal Distributions for Model Based Clustering of p -Torus Data
• Robust estimation of multivariate regression model
• Gaussian-related undirected graphical models for circular variables
• Multiple robust estimation of marginal structural mean models for unconstrained outcomes
• Robust estimation for circular data
• An impartial trimming algorithm for robust circle fitting

Uses Software

• circular

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