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arXiv 2009.00646math.STstat.OTstat.TH
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回归深度中位数的非渐近稳健性分析

Non-asymptotic robustness analysis of regression depth median

Yijun Zuo

AI总结:

本文针对回归深度中位数$\bsβ^*_{RD}$的精确有限样本崩溃点这一长期悬而未决的问题,揭示其回归深度与精确FSBP的内在关联,论证了该估计量作为传统估计量稳健替代的合理性,以及有限样本下使用FSBP的必要性。

摘要:

由Rousseeuw和Hubert(1999)(简称RH99)提出的回归深度(RD)所导出的最大深度估计量(又称深度中位数)($\bsβ^*_{RD}$)是回归领域最主流的估计量之一。它具备与单变量位置对应估计量相当的出色稳健性。实际上,$\bsβ^*_{RD}$在渐近情形下可抵御最高33%的污染而不发生崩溃,这与传统(最小二乘和最小绝对偏差)估计量的0%抗污染能力形成对比(参见Van Aelst和Rousseeuw,2000,简称VAR00)。VAR00的研究成果具有开创性,但仅局限于回归对称总体(具有严格正的密度)以及ε-污染和最大偏差模型。在固定有限样本量的实际应用中,衡量估计量稳健性的最主流指标是有限样本崩溃点(FSBP)(Donoho和Huber,1983)。尽管学界已开展诸多尝试,但仅得到了关于$\bsβ^*_{RD}$的FSBP的零散部分结果,其精确FSBP在过去二十余年里始终是悬而未决的问题。此外,渐近崩溃值1/3(递增的有限样本崩溃值序列的极限)在有限样本实践中是否具有参考意义?(或者说有限样本崩溃值与极限崩溃值之间有何差异?)这类讨论在现有文献中尚未开展。本文解决了上述问题,揭示了$\bsβ^*_{RD}$的回归深度与新得到的精确FSBP之间的内在联系,论证了将$\bsβ^*_{RD}$作为传统估计量的稳健替代方案的合理性,并阐明了在有限样本实际应用中使用FSBP的必要性与优势。

英文摘要:

The maximum depth estimator (aka depth median) ($\bsβ^*_{RD}$) 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, $\bsβ^*_{RD}$ can, asymptotically, resist up to $33\%$ contamination without breakdown, in contrast to the $0\%$ 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 $ε$-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 $\bsβ^*_{RD}$ were obtained whereas an exact FSBP for $\bsβ^*_{RD}$ 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 $\bsβ^*_{RD}$ and the newly obtained exact FSBP. It justifies the employment of $\bsβ^*_{RD}$ as a robust alternative to the traditional estimators and demonstrates the necessity and the merit of using the FSBP in finite-sample real practice.

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