shubhobm / depth-scatter1

Depth-scatter1

Contains codes, background papers and manuscript for inference based on weighted multivariate signs.

On Weighted Multivariate Sign Functions

Abstract

Multivariate sign functions are often used for robust estimation and inference. We propose using data dependent weights in association with such functions. The proposed weighted sign functions retain desirable robustness properties, while significantly improving efficiency in estimation and inference compared to unweighted multivariate sign-based methods. Using weighted signs, we demonstrate methods of robust location estimation and robust principal component analysis. We extend the scope of using robust multivariate methods to include robust sufficient dimension reduction and functional outlier detection. Several numerical studies and real data applications demonstrate the efficacy of the proposed methodology.

arXiV preprint

http://arxiv.org/abs/1905.02700

A previous version of the work, focusing only on the PCA aspect, is available at http://arxiv.org/abs/1502.07042.

Owner

Subho Majumdar

[email protected]