The Annals of Statistics

Multidimensional trimming based on projection depth

Yijun Zuo

Full-text: Open access

Abstract

As estimators of location parameters, univariate trimmed means are well known for their robustness and efficiency. They can serve as robust alternatives to the sample mean while possessing high efficiencies at normal as well as heavy-tailed models. This paper introduces multidimensional trimmed means based on projection depth induced regions. Robustness of these depth trimmed means is investigated in terms of the influence function and finite sample breakdown point. The influence function captures the local robustness whereas the breakdown point measures the global robustness of estimators. It is found that the projection depth trimmed means are highly robust locally as well as globally. Asymptotics of the depth trimmed means are investigated via those of the directional radius of the depth induced regions. The strong consistency, asymptotic representation and limiting distribution of the depth trimmed means are obtained. Relative to the mean and other leading competitors, the depth trimmed means are highly efficient at normal or symmetric models and overwhelmingly more efficient when these models are contaminated. Simulation studies confirm the validity of the asymptotic efficiency results at finite samples.

Article information

Source
Ann. Statist., Volume 34, Number 5 (2006), 2211-2251.

Dates
First available in Project Euclid: 23 January 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1169571795

Digital Object Identifier
doi:10.1214/009053606000000713

Mathematical Reviews number (MathSciNet)
MR2291498

Zentralblatt MATH identifier
1106.62057

Subjects
Primary: 62E20: Asymptotic distribution theory
Secondary: 62G20: Asymptotic properties 62G35: Robustness

Keywords
Projection depth depth regions directional radius multivariate trimmed means influence function breakdown point robustness asymptotics efficiency

Citation

Zuo, Yijun. Multidimensional trimming based on projection depth. Ann. Statist. 34 (2006), no. 5, 2211--2251. doi:10.1214/009053606000000713. https://projecteuclid.org/euclid.aos/1169571795


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