×

Investigation of finite-sample properties of robust location and scale estimators. (English) Zbl 07545883

Summary: When the experimental data set is contaminated, we usually employ robust alternatives to common location and scale estimators such as the sample median and Hodges-Lehmann estimators for location and the sample median absolute deviation and Shamos estimators for scale. It is well known that these estimators have high positive asymptotic breakdown points and are Fisher-consistent as the sample size tends to infinity. To the best of our knowledge, the finite-sample properties of these estimators, depending on the sample size, have not well been studied in the literature. In this paper, we fill this gap by providing their closed-form finite-sample breakdown points and calculating the unbiasing factors and relative efficiencies of the robust estimators through the extensive Monte Carlo simulations up to the sample size 100. The numerical study shows that the unbiasing factor improves the finite-sample performance significantly. In addition, we provide the predicted values for the unbiasing factors obtained by using the least squares method which can be used for the case of sample size more than 100.

MSC:

62-XX Statistics

Software:

R

References:

[1] ASQC and ANSI, ASQC (ANSI Standards: A1-1971 (Z1.5-1971), definitions, symbols, formulas, and tables for control charts (approved Nov. 18, 1971) (1972), Milwaukee, WI: American National Standards Institute, Milwaukee, WI
[2] Astm E11, Manual on presentation of data and control chart analysis (1976), Philadelphia, PA: American Society for Testing and Materials, Philadelphia, PA
[3] Astm E11; Luko, S. N., Manual on presentation of data and control chart analysis. (2018), West Conshohocken, PA: American Society for Testing and Materials, West Conshohocken, PA
[4] Donoho, D.; Huber, P. J.; Festschrift, A.; Lehmann, Erich L., The notion of breakdown point, 157-84 (1983), Wadsworth, Belmont, CA · Zbl 0523.62032
[5] Fisher, R. A., On the mathematical foundations of theoretical statistics, Philosophical Transactions of the Royal Society of London. Series A, Containing Papers of a Mathematical or Physical Character, 222, 309-68 (1922) · JFM 48.1280.02 · doi:10.1098/rsta.1922.0009
[6] Hampel, F. R., The influence curve and its role in robust estimation, Journal of the American Statistical Association, 69, 346, 383-93 (1974) · Zbl 0305.62031 · doi:10.2307/2285666
[7] Hampel, F. R.; Ronchetti, E.; Rousseeuw, P. J.; Stahel, W. A., Robust statistics: The Approach based on influence functions (1986), New York: John Wiley & Sons, New York · Zbl 0593.62027
[8] Hayes, K., Finite-sample bias-correction factors for the median absolute deviation, Communications in Statistics - Simulation and Computation, 43, 10, 2205-12 (2014) · Zbl 1462.62210 · doi:10.1080/03610918.2012.748913
[9] Hettmansperger, T. P.; McKean, J. W., Robust nonparametric statistical methods (2010), Boca Raton, FL: Chapman & Hall/CRC, Boca Raton, FL
[10] Hodges, J. L.; Lehmann, E. L., Estimates of location based on rank tests, The Annals of Mathematical Statistics, 34, 2, 598-611 (1963) · Zbl 0203.21105 · doi:10.1214/aoms/1177704172
[11] Hodges, J. L. Jr., Efficiency in normal samples and tolerance of extreme values for some estimates of location, Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability, 1, 163-186 (1967) · Zbl 0211.50205
[12] Huber, P. J.; Ronchetti, E. M., Robust statistics (2009), New York: John Wiley & Sons, New York · Zbl 1276.62022
[13] Lèvy-Leduc, C.; Boistard, H.; Moulines, E.; Taqqu, M. S.; Reisen, V. A., Large sample behaviour of some well-known robust estimators under long-range dependence, Statistics, 45, 59-71 (2011) · Zbl 1291.62108 · doi:10.1080/02331888.2011.539442
[14] Montgomery, D. C., Statistical quality control: An modern introduction (2013), John Wiley & Sons · Zbl 1274.62014
[15] Ouyang, L.; Park, C.; Byun, J.-H.; Leeds, M.; Lio, Y.; Ng, H.; Tsai, T. R.; Chen, D. G., Statistical quality technologies: Theory and practice (ICSA Book Series in Statistics), Robust design in the case of data contamination and model departure, 347-73 (2019), Springer: Springer, Cham
[16] Park, C.; Wang, M. (2019)
[17] R Core Team, R: A language and environment for statistical computing (2019), Vienna, Austria: R Foundation for Statistical Computing, Vienna, Austria
[18] Rousseeuw, P., Tutorial to robust statistics, Journal of Chemometrics, 5, 1, 1-20 (1991) · doi:10.1002/cem.1180050103
[19] Rousseeuw, P.; Croux, C., Alternatives to the median absolute deviation, Journal of the American Statistical Association, 88, 424, 1273-83 (1993) · Zbl 0792.62025 · doi:10.2307/2291267
[20] Rousseeuw, P. J.; Croux, C.; Dodge, Y., L1-statistical analysis and related methods, Explicit scale estimators with high breakdown point, 77-92 (1992), North-Holland
[21] Serfling, R. J.; Lovric, M., Encyclopedia of statistical science, Part I, Asymptotic relative efficiency in estimation, 68-82 (2011), Berlin: Springer-Verlag, Berlin
[22] Shamos, M. I.; Traub, J. F., Algorithms and complexity: New directions and recent results, Geometry and statistics: Problems at the interface, 251-80 (1976), New York: Academic Press, New York · Zbl 0363.00013
[23] Shewhart, W. A., Quality control charts, Bell System Technical Journal, 5, 4, 593-603 (1926) · doi:10.1002/j.1538-7305.1926.tb00125.x
[24] Shewhart, W. A., Economic control of quality of manufactured product (1931), Princeton, NJ: Van Nostrand Reinhold, Princeton, NJ
[25] Vining, G., Technical advice: Phase I and Phase II control charts, Quality Engineering, 21, 4, 478-9 (2009) · doi:10.1080/08982110903185736
[26] Walsh, J. E., Some significance tests for the median which are valid under very general conditions, The Annals of Mathematical Statistics, 20, 1, 64-81 (1949) · Zbl 0033.07602 · doi:10.1214/aoms/1177730091
[27] Wilcox, R. R., Introduction to robust estimation and hypothesis testing (2016), Loncon, UK: Academic Press, Loncon, UK · Zbl 1113.62036
[28] Williams, D. C., Finite sample correction factors for several simple robust estimators of normal standard deviation, Journal of Statistical Computation and Simulation, 81, 11, 1697-702 (2011) · Zbl 1431.62086 · doi:10.1080/00949655.2010.499516
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.