Sign-constrained robust least squares, subjective breakdown point and the effect of weights of observations on robustness |
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| Authors: | Peiliang Xu |
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| Institution: | (1) Disaster Prevention Research Institute, Kyoto University, Uji, Kyoto 611-0011, Japan |
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| Abstract: | The findings of this paper are summarized as follows: (1) We propose a sign-constrained robust estimation method, which can
tolerate 50% of data contamination and meanwhile achieve high, least-squares-comparable efficiency. Since the objective function
is identical with least squares, the method may also be called sign-constrained robust least squares. An iterative version
of the method has been implemented and shown to be capable of resisting against more than 50% of contamination. As a by-product,
a robust estimate of scale parameter can also be obtained. Unlike the least median of squares method and repeated medians,
which use a least possible number of data to derive the solution, the sign-constrained robust least squares method attempts
to employ a maximum possible number of good data to derive the robust solution, and thus will not be affected by partial near
multi-collinearity among part of the data or if some of the data are clustered together; (2) although M-estimates have been
reported to have a breakdown point of 1/(t+1), we have shown that the weights of observations can readily deteriorate such results and bring the breakdown point of
M-estimates of Huber’s type to zero. The same zero breakdown point of the L
1-norm method is also derived, again due to the weights of observations; (3) by assuming a prior distribution for the signs
of outliers, we have developed the concept of subjective breakdown point, which may be thought of as an extension of stochastic
breakdown by Donoho and Huber but can be important in explaining real-life problems in Earth Sciences and image reconstruction;
and finally, (4) We have shown that the least median of squares method can still break down with a single outlier, even if
no highly concentrated good data nor highly concentrated outliers exist.
An erratum to this article is available at . |
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| Keywords: | Adaptive trimmed mean Breakdown point L 1-norm Least median of squares Outlier Repeated median Robust estimation Robustness Sign-constrained robust least squares |
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