Robust Regression with Density Power Divergence: Theory, Comparisons, and Data Analysis

Robust small area estimation for unit level model with density power divergence

Unit level model is one of the classical models in small area estimation, which plays an important role with unit information data. Empirical Bayesian(EB) estimation, as the optimal estimation under normal assumption, is the most commonly used parameter estimation method in unit level model. However, this kind of method is sensitive to outliers, and EB estimation will lead to considerable inflation of the mean square error(MSE) when there are outliers in the responses yij. In this study, we propose a robust estimation method for the unit-level model with outliers based on the minimum density power divergence. Firstly, by introducing the minimum density power divergence function, we give the estimation equation of the parameters of the unit level model, and obtain the asymptotic distribution of the robust parameters. Considering the existence of tuning parameters in the robust estimator, an optimal parameter selection algorithm is proposed. Secondly, empirical Bayesian predictors of unit and area mean in finite populations are given, and the MSE of the proposed robust estimators of small area means is given by bootstrap method. Finally, we verify the superior performance of our proposed method through simulation data and real data. Through comparison, our proposed method can can solve the outlier situation better.

Robust Z-Estimators for Semiparametric Moment Condition Models

In the present paper, we introduce a class of robust Z-estimators for moment condition models. These new estimators can be seen as robust alternatives for the minimum empirical divergence estimators. By using the multidimensional Huber function, we first define robust estimators of the element that realizes the supremum in the dual form of the divergence. A linear relationship between the influence function of a minimum empirical divergence estimator and the influence function of the estimator of the element that realizes the supremum in the dual form of the divergence led to the idea of defining new Z-estimators for the parameter of the model, by using robust estimators in the dual form of the divergence. The asymptotic properties of the proposed estimators were proven, including here the consistency and their asymptotic normality. Then, the influence functions of the estimators were derived, and their robustness is demonstrated.

Robust regression against heavy heterogeneous contamination

The $$\gamma $$ γ -divergence is well-known for having strong robustness against heavy contamination. By virtue of this property, many applications via the $$\gamma $$ γ -divergence have been proposed. There are two types of $$\gamma $$ γ -divergence for the regression problem, in which the base measures are handled differently. In this study, these two $$\gamma $$ γ -divergences are compared, and a large difference is found between them under heterogeneous contamination, where the outlier ratio depends on the explanatory variable. One $$\gamma $$ γ -divergence has the strong robustness even under heterogeneous contamination. The other does not have in general; however, it has under homogeneous contamination, where the outlier ratio does not depend on the explanatory variable, or when the parametric model of the response variable belongs to a location-scale family in which the scale does not depend on the explanatory variables. Hung et al. (Biometrics 74(1):145–154, 2018) discussed the strong robustness in a logistic regression model with an additional assumption that the tuning parameter $$\gamma $$ γ is sufficiently large. The results obtained in this study hold for any parametric model without such an additional assumption.

fsdaSAS: A Package for Robust Regression for Very Large Datasets Including the Batch Forward Search

The forward search (FS) is a general method of robust data fitting that moves smoothly from very robust to maximum likelihood estimation. The regression procedures are included in the MATLAB toolbox FSDA. The work on a SAS version of the FS originates from the need for the analysis of large datasets expressed by law enforcement services operating in the European Union that use our SAS software for detecting data anomalies that may point to fraudulent customs returns. Specific to our SAS implementation, the fsdaSAS package, we describe the approximation used to provide fast analyses of large datasets using an FS which progresses through the inclusion of batches of observations, rather than progressing one observation at a time. We do, however, test for outliers one observation at a time. We demonstrate that our SAS implementation becomes appreciably faster than the MATLAB version as the sample size increases and is also able to analyse larger datasets. The series of fits provided by the FS leads to the adaptive data-dependent choice of maximally efficient robust estimates. This also allows the monitoring of residuals and parameter estimates for fits of differing robustness levels. We mention that our fsdaSAS also applies the idea of monitoring to several robust estimators for regression for a range of values of breakdown point or nominal efficiency, leading to adaptive values for these parameters. We have also provided a variety of plots linked through brushing. Further programmed analyses include the robust transformations of the response in regression. Our package also provides the SAS community with methods of monitoring robust estimators for multivariate data, including multivariate data transformations.

Robust Procedures for Estimating and Testing in the Framework of Divergence Measures

The approach for estimating and testing based on divergence measures has become, in the last 30 years, a very popular technique not only in the field of statistics, but also in other areas, such as machine learning, pattern recognition, etc [...].

Monitoring Parameter Change for Time Series Models of Counts Based on Minimum Density Power Divergence Estimator

In this study, we consider an online monitoring procedure to detect a parameter change for integer-valued generalized autoregressive heteroscedastic (INGARCH) models whose conditional density of present observations over past information follows one parameter exponential family distributions. For this purpose, we use the cumulative sum (CUSUM) of score functions deduced from the objective functions, constructed for the minimum power divergence estimator (MDPDE) that includes the maximum likelihood estimator (MLE), to diminish the influence of outliers. It is well-known that compared to the MLE, the MDPDE is robust against outliers with little loss of efficiency. This robustness property is properly inherited by the proposed monitoring procedure. A simulation study and real data analysis are conducted to affirm the validity of our method.

Nonparametric Limits of Agreement for Small to Moderate Sample Sizes: A Simulation Study

The assessment of agreement in method comparison and observer variability analysis of quantitative measurements is usually done by the Bland–Altman Limits of Agreement, where the paired differences are implicitly assumed to follow a normal distribution. Whenever this assumption does not hold, the 2.5% and 97.5% percentiles are obtained by quantile estimation. In the literature, empirical quantiles have been used for this purpose. In this simulation study, we applied both sample, subsampling, and kernel quantile estimators, as well as other methods for quantile estimation to sample sizes between 30 and 150 and different distributions of the paired differences. The performance of 15 estimators in generating prediction intervals was measured by their respective coverage probability for one newly generated observation. Our results indicated that sample quantile estimators based on one or two order statistics outperformed all of the other estimators and they can be used for deriving nonparametric Limits of Agreement. For sample sizes exceeding 80 observations, more advanced quantile estimators, such as the Harrell–Davis and estimators of Sfakianakis–Verginis type, which use all of the observed differences, performed likewise well, but may be considered intuitively more appealing than simple sample quantile estimators that are based on only two observations per quantile.