Abstract
Depth notions in regression have been systematically proposed and examined in Zuo (arXiv:1805.02046, 2018). One of the prominent advantages of the notion of depth is that it can be directly utilized to introduce median-type deepest estimating functionals (or estimators in the case of empirical distributions) for location or regression parameters in a multi-dimensional setting. Regression depth shares the advantage. Depth induced deepest estimating functionals are expected to inherit desirable and inherent robustness properties (e.g. bounded maximum bias and influence function and high breakdown point) as their univariate location counterpart does. Investigating and verifying the robustness of the deepest projection estimating functional (in terms of maximum bias, asymptotic and finite sample breakdown point, and influence function) is the major goal of this article. It turns out that the deepest projection estimating functional possesses a bounded influence function and the best possible asymptotic breakdown point as well as the best finite sample breakdown point with robust choice of its univariate regression and scale component.
Similar content being viewed by others
References
Adrover J, Yohai VJ (2002) Projection estimates of multivariate location. Ann Stat 30:1760–1781
Bai ZD, He X (1999) Asymptotic distributions of the maximal depth regression and multivariate location. Ann Stat 27(5):1616–1637 577-580
Chen Z, Tyler DE (2002) The influence function and maximum bias of Tukey’s median. Ann Stat 30:1737–1759
Davies PL (1990) The asymptotics of S-estimators in the linear regression model. Ann Stat 18:1651–1675
Davies PL (1993) Aspects of robust linear regression. Ann Stat 21:1843–1899
Davies PL, Gather U (2005) Breakdown and groups. Ann Stat 33(3):977–988
Donoho DL (1982) Breakdown properties of multivariate location estimators. PhD Qualifying Paper, Harvard University
Donoho DL, Huber P (1983) A Festschrift for Erich L. Lehmann. Wadsworth, Belmont, pp 157–184
Hampel FR, Ronchetti EM, Rousseeuw PJ, Stahel WA (1986) Robust statistics: the approach based on influence functions. Wiley, New York
Huber PJ (1964) Robust estimation of a location parameter. Ann Math Stat 35:73–101
Huber PJ (1972) Robust statistics: a review. Ann Math Stat 43:1041–1067
Huber PJ (1981) Robust statistics. Wiley, New York
Hubert M, Rousseeuw PJ, Van Aelst S (2001) Similarities between location depth and regression depth. In: Fernholz L, Morgenthaler S, Stahel W (eds) Statistics in genetics and in the environmental sciences. Birkhäuser, Basel, pp 159–172
Kim J, Pollard D (1990) Cube root asymptotics. Ann Stat 18:191–219
Koenker R, Bassett GJ (1978) Regression quantiles. Econometrica 46:33–50
Liu X, Luo S, Zuo Y (2017) Some results on the computing of Tukey’s halfspace median. Stat Pap. https://doi.org/10.1007/s00362-017-0941-5
Maronna RA, Yohai VJ (1993) Bias-robust estimates of regression based on projections. Ann Stat 21(2):965–990
Martin DR, Yohai VJ, Zamar RH (1989) Min–max bias robust regression. Ann Stat 17:1608–1630
Müller C (2013) Upper and lower bounds for breakdown points. In: Becker C, Fried R, Kuhnt S (eds) Robustness and complex data structures. Festschrift in Honour of Ursula Gather. Springer, Berlin, pp 17–34
Rousseeuw PJ (1984) Least median of squares regression. J Am Stat Assoc 79:871–880
Rousseeuw PJ, Hubert M (1999) Regression depth (with discussion). J Am Stat Assoc 94:388–433
Rousseeuw PJ, Leroy A (1987) Robust regression and outlier detection. Wiley, New York 1987
Seber GAF, Lee AJ (2003) Linear regression analysis, 2nd edn. Wiley, Hoboken, NJ
Shao W, Zuo Y (2019) Computing the halfspace depth with multiple try algorithm and simulated annealing algorithm. Comput Stat. https://doi.org/10.1007/s00180-019-00906-x
Tukey JW (1975) Mathematics and the picturing of data. In: James RD (ed) Proceeding of the international congress of mathematicians, Vancouver 1974, vol 2. Canadian Mathematical Congress, Montreal, pp 523–531
Van Aelst S, Rousseeuw PJ (2000) Robustness of deepest regression. J Multivar Anal 73:82–106
Wu M, Zuo Y (2008) Trimmed and Winsorized standard deviations based on a scaled deviation. J Nonparametric Stat 20(4):319–335
Wu M, Zuo Y (2009) Trimmed and Winsorized means based on a scaled deviation. J Stat Plan Inference 139(2):350–365
Zuo Y (2003) Projection-based depth functions and associated medians. Ann Stat 31:1460–1490
Zuo Y (2006) Multi-dimensional trimming based on projection depth. Ann Stat 34(5):2211–2251
Zuo Y, Cui H, He X (2004) On the Stahel–Donoho estimator and depth-weighted means of multivariate data. Ann Stat 32(1):167–188
Zuo Y, Cui H, Young D (2004) Influence function and maximum bias of projection depth based estimators. Ann Stat 32:189–218
Zuo Y (2018) On general notions of depth in regression. arXiv:1805.02046
Acknowledgements
The author thanks Professor Emeritus James Stapleton for his careful English proofreading and an anonymous referee who provided insightful comments and suggestions which have led to significant improvements of the manuscript.
Author information
Authors and Affiliations
Corresponding author
Additional information
Publisher's Note
Springer Nature remains neutral with regard to jurisdictional claims in published maps and institutional affiliations.
Rights and permissions
About this article
Cite this article
Zuo, Y. Robustness of the deepest projection regression functional. Stat Papers 62, 1167–1193 (2021). https://doi.org/10.1007/s00362-019-01129-4
Received:
Revised:
Published:
Issue Date:
DOI: https://doi.org/10.1007/s00362-019-01129-4
Keywords
- Depth
- Linear regression
- Deepest regression estimating functionals
- Maximum bias
- Breakdown point
- Influence function
- Robustness