Adaptive trimmed likelihood estimation in regression

Least trimmed squares (LTS) provides a parametric family of high breakdown estimators in regression with better asymptotic properties than least median of squares (LMS) estimators. We adapt the forward search algorithm of Atkinson (1994) to LTS and provide methods for determining the amount of data to be trimmed. We examine the efficiency of different trimming proportions by simulation and demonstrate the increasing efficiency of parameter estimation as larger proportions of data are fitted using the LTS criterion. Some standard data examples are analysed. One shows that LTS provides more stable solutions than LMS.

The incorporation of the robust regression methods Least Median Square (LMS) and Least Trimmed Squares (LTS) is proposed in structural equation modeling. Results show that, in situations of high deviations of symmetry, the evaluated methods would be recommended for applications including smaller sample sizes.

In this paper, the computation of the least median of squares (LMS) estimator for regression and the minimum volume ellipsoid estimator for multivariate location and covariance are considered, using the P3R and PAR programs from the widely available statistical package BMDP. Multivariate outliers are detected using robust distances based on the MVE estimators of the explanatory variables. The identification of leverage points in linear regression is based on the combined use of the LMS standardized residuals and the robust distances of the explanatory regression variables. FORTRAN procedures and the required BMDP input to produce the corresponding robust estimates are presented. The Hawkins-Bradu-Kass data is used as a test example.

Network Topology Error Identification in Robust State Estimation for Power Systems

Say that a regression method is "unstable" at a data set if a small change in the data can cause a relatively large change in the fitted plane. A well-known example of this is the instability of least squares regression (LS) near (multi)collinear data sets. It is known that least absolute deviation (LAD) and least median of squares (LMS) linear regression can exhibit instability at data sets that are far from collinear. Clear-cut instability occurs at a "singularity"--a data set, arbitrarily small changes to which can substantially change the fit. For example, the collinear data sets are the singularities of LS. One way to measure the extent of instability of a regression method is to measure the size of its "singular set" (set of singularities). The dimension of the singular set is a tractable measure of its size that can be estimated without distributional assumptions or asymptotics. By applying a general theorem on the dimension of singular sets, we find that the singular sets of LAD and LMS are at least as large as that of LS and often much larger. Thus, prima facie, LAD and LMS are frequently unstable. This casts doubt on the trustworthiness of LAD and LMS as exploratory regression tools.

Outlier detection is an important task for fitting a model to a set of data. Two different outlier detection approaches are given as tests for outliers and robust methods. For these approaches, usually outliers are considered as additive bias terms neglected in the original adjustment model. However, there is another approach that outlier is considered as a model error in the Gauss–Markov model. This model error is represented as an unknown parameter. As it cannot be known before which observation includes outlier; this method is applied on the data for each observation separately and tested with t-test or F-test. It is successful if the sample includes only one outlier. To detect multiple outliers more successfully, in this article, a new outlier detection method is introduced. In this method, all the possible combinations of multiple outliers are considered as model errors and it is accepted that the smallest variance of them gives the solution for a certain number of outliers, then the estimated model errors are detected by comparing with a critical value. The critical value is chosen as 3σo. To compare the results of the new method, with those of the Least Median of Squares (LMS) and Huber M-estimators, Monte Carlo simulation technique is used for linear regression. The Mean Success Rate is proposed to measure the reliabilities of the methods. We showed that the new method is robust and includes the property of high breakdown point as LMS; and more efficient than LMS.

This paper considers the robustness properties in the time series context of the least median of squares (LMS) estimator. The influence function of the LMS estimator is derived under additive outlier contamination. This influence function is redescending and bounded for fixed values of the AR parameters. The gross-error sensitivity, however, is an unbounded function of the AR parameters. In order to asses the global robustness behavior of the LMS estimator, we consider several notions of breakdown. The breakdown points of the LMS estimator depend on the value of the underlying AR parameter. Generally, the breakdown point is below one half for high values of the AR parameter. The bias curves of the LMS estimator reveal, however, that the magnitude of outliers has to be considerable in order to cause breakdown.

In the multiple linear regression analysis, the ridge regression estimator and the Liu estimator are often used to address multicollinearity. Besides multicollinearity, outliers are also a problem in the multiple linear regression analysis. We propose new biased estimators based on the least trimmed squares (LTS) ridge estimator and the LTS Liu estimator in the case of the presence of both outliers and multicollinearity. For this purpose, a simulation study is conducted in order to see the difference between the robust ridge estimator and the robust Liu estimator in terms of their effectiveness; the mean square error. In our simulations, the behavior of the new biased estimators is examined for types of outliers: X-space outlier, Y-space outlier, and X-and Y-space outlier. The results for a number of different illustrative cases are presented. This paper also provides the results for the robust ridge regression and robust Liu estimators based on a real-life data set combining the problem of multicollinearity and outliers.

<para xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink"> This paper presents a robust calibration procedure for clustered wireless sensor networks. Accurate calibration of between-node distances is one crucial step in localizing sensor nodes in an ad-hoc sensor network. The calibration problem is formulated as a parameter estimation problem using a linear calibration model. For reducing or eliminating the unwanted influence of measurement corruptions or outliers on parameter estimation, which may be caused by sensor or communication failures, a robust regression estimator such as the least-trimmed squares (LTS) estimator is a natural choice. Despite the availability of the FAST-LTS routine in several statistical packages (e.g., R, S-PLUS, SAS), applying it to the sensor network calibration is not a simple task. To use the FAST-LTS, one needs to input a trimming parameter, which is a function of the sensor redundancy in a network. Computing the redundancy degree and subsequently solving the LTS estimation both turn out to be computationally demanding. Our research aims at utilizing some cluster structure in a network configuration in order to do robust estimation more efficiently. We present two algorithms that compute the exact value and a lower bound of the redundancy degree, respectively, and an algorithm that computes the LTS estimation. Two examples are presented to illustrate how the proposed methods help alleviate the computational demands associated with robust estimation and thus facilitate robust calibration in a sensor network. </para>

An improved robust hierarchical registration algorithm

In robust statistics, there are several types of robust estimators, including M-estimator (maximum likelihood type estimator), L-estimator (linear combinations of order statistics), R-estimator (estimator based on rank transformation) [77], RM estimator (repeated median) [141], and LMS estimator (estimator using the least median of squares) [133]. When information theoretic learning is applied to robust statistics, the Gaussian kernel in entropy plays a role of Welsch M-estimator and can be efficiently optimized by half-quadratic minimization. Hence, in this chapter, we introduce some basic concepts of M-estimation and half-quadratic minimization.

Fast and robust bootstrap for LTS

Finding and fitting circles from a set of points is a frequent problem in the data analysis of high-energy physics experiments. In a tracker immersed in a homogeneous magnetic field, tracks are close to perfect circles if projected to the bending plane. In a ring-imaging Cherenkov (RICH) detector, circles of photons around the crossing point of charged particles have to be found and their radii estimated. In both cases, non-negligible background may be present that tends to complicate the pattern recognition and to bias the circle fit. In this contribution we present a robust circle fit based on a modified Riemann fit that removes or significantly reduces the effect of background points. As in the standard Riemann fit, the measured points are projected to the Riemann sphere or paraboloid, and a plane is fitted to the projected points. The fit is made robust by replacing the usual least-squares regression by a least median of squares (LMS) regression. Because of the high breakdown point of the LMS estimator, the fit is insensitive to background points. The LMS plane is used to initialize the weights of an M-estimator that refits the plane in order to suppress eventual remaining outliers and to obtain the final circle parameters. The method is demonstrated on three sets of artificial data: points on a circle plus a comparable number of background points; points on two overlapping circles with additional background; and points obtained by the simulation of tracks in a drift chamber with mirror points and additional background. The results show high circle finding efficiency and small contamination of the final fitted circles.

Robust Regression for the Detection of Independent 3D Motion by a Binocular Observer

Natural mortality rate (M) and fishing catchability coefficient (q) were estimated by using the Paloheimo pairwise linear regression model with simulated and real catch–effort data. The four estimation methods used were least squares (LS), least absolute value (LAV), least median of squares (LMS), and LMS-based reweighted least squares (RLS). When catch or effort data or both contained homogeneous error variances, mean squared errors (MSE) of LS and RLS were significantly smaller than those of LAV and LMS. However, there was no significant difference in MSE between LS and RLS. When catch–effort data contained variances inconsistent among years, MSEs of the robust methods were much smaller than those of LS. Reweighted least squares substantially reduced the variances in the LS-estimated q and M, and it had the smallest MSE among the four estimation methods. We suggest using the following procedures in estimating q and M based on the Paloheimo pairwise regression model: (1) applying LMS to the model to identify outliers in the data; and (2) weighting the defined outliers by a factor of 0 and normal data points by a factor of 1 and applying LS to the model to estimate q and M and their associated variances.