Trimming principles play an important role in robust statistics. However, their use for clustering typically requires some preliminary information about the con- tamination rate and the number of groups. We suggest a fresh approach to trim- ming that does not rely on this knowledge and that proves to be particularly suited for solving problems in robust cluster analysis. Our approach replaces the original K-population (robust) estimation problem with K distinct one-population steps, which take advantage of the good breakdown properties of trimmed estimators when the trimming level exceeds the usual bound of 0.5. In this setting we prove that exact affine equivariance is lost on one hand, but on the other hand an arbi- trarily high breakdown point can be achieved by "anchoring" the robust estimator. We also support the use of adaptive trimming schemes, in order to infer the con- tamination rate from the data. A further bonus of our methodology is its ability to provide a reliable choice of the usually unknown number of groups.
Cerioli, A., Farcomeni, A., Riani, M. (2019). Wild adaptive trimming for robust estimation and cluster analysis. SCANDINAVIAN JOURNAL OF STATISTICS, 46, 235-256 [10.1111/sjos.12349].
Wild adaptive trimming for robust estimation and cluster analysis
Alessio Farcomeni;
2019-01-01
Abstract
Trimming principles play an important role in robust statistics. However, their use for clustering typically requires some preliminary information about the con- tamination rate and the number of groups. We suggest a fresh approach to trim- ming that does not rely on this knowledge and that proves to be particularly suited for solving problems in robust cluster analysis. Our approach replaces the original K-population (robust) estimation problem with K distinct one-population steps, which take advantage of the good breakdown properties of trimmed estimators when the trimming level exceeds the usual bound of 0.5. In this setting we prove that exact affine equivariance is lost on one hand, but on the other hand an arbi- trarily high breakdown point can be achieved by "anchoring" the robust estimator. We also support the use of adaptive trimming schemes, in order to infer the con- tamination rate from the data. A further bonus of our methodology is its ability to provide a reliable choice of the usually unknown number of groups.File | Dimensione | Formato | |
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