Developments in Robust Statistics: International Conference on Robust Statistics 2001 PDF
Preview Developments in Robust Statistics: International Conference on Robust Statistics 2001
Developments in Robust Statistics R. Dutter . P. Filzmoser u. Gather . P. 1. Rousseeuw Editors Developments in Robust Statistics International Conference on Robust Statistics 2001 With 85 Figures and 75 Tables Springer-Verlag Berlin Heidelberg GmbH Professor Dr. Rudolf Dutter Professor Dr. Peter Filzmoser Vienna University of Technology Institute of Statistics Wiedner HauptstraBe 8-10 1040 Vienna, Austria Professor Dr. Ursula Gather University of Dortmund Statistics Department 44221 Dortmund, Germany Professor Dr. Peter J. Rousseeuw University of Antwerp Department of Mathematics and Computer Science Universiteitsplein 1 2610 Antwerp, Belgium ISBN 978-3-642-63241-9 ISBN 978-3-642-57338-5 (eBook) DOI 10.1007/978-3-642-57338-5 Library of Congress Cataloging·in·Publication Data applied for Developments in Robust Statistics / International Conference on Robust Statistics 2ool. Ed.: Rudolf Dutter. ... - Heidelberg; New York: Physica-Verl., 2003 This work is subject to copyright. Ali rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Physica-Verlag. Violations are liable for prosecution under the German Copyright Law. http://www.springer.de © Springer-Verlag Berlin Heidelberg 2003 Originally published by Physica-Verlag Heidelberg 2003 The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: Erich Kirchner, Heidelberg SPIN 10886288 88/2202-5 4 3 2 1 0-Printed on acid-free paper Preface This book contains papers that were presented at the International Conference on RobustStatistics 2001 (ICORS 2001), held from July 23-27, 2001 in Vorau, Aus tria. Theobjectiveofthis conference was to beaforum for new developmentsand applications ofRobust Statistics. Leading scientists, experienced researchers and practitioners,aswellas youngerresearcherscametogethertoexchangeknowledge andtobuildscientificcontacts. Many excellent meetings on robustness have been organized in the past, but there was noperiodicalmeeting to bringtogetherresearchers workingin thisfield, toexchangeknowledgeandtodiscussfuturedirectionsofthediscipline.Tofill this need,PeterFilzmoserandRodolfDutterfromtheViennaUniversityofTechnology organized ICORS 2001, a conference especially devoted to robust statistics. The conference site Vorau, unknown even to many Austrian people, turned out to be a verysuccessfulvenueforthisevent. About 100 participants from 25 nations attended this meeting. The scien tific program included 67 oral and 13 poster presentations. This program had been prepared by the Scientific Committee consisting of Rudolf Dutter (Aus tria, chair), Christophe Croux (Belgium), llikan Ekblom (Sweden), Luisa Fern holz (USA), Ursula Gather (Germany), Marc Genton (USA), Xurning He (USA), Thomas Hettmansperger (USA), Yurij Kharin (Belarus), Ricardo Maronna (Ar gentina), Douglas Martin (USA), Stephan Morgenthaler (Switzerland), Christine Miiller (Germany), Hannu Oja (Finland), David Rocke (USA), Elvezio Ronchetti (Switzerland), Peter Rousseeuw (Belgium), Charles Stewart (USA), Victor Yohai (Argentina), and Ruben Zamar (Canada). Aspects of Robust Statistics were cov ered in thefollowing areas:Algorithms, Applications, Biostatistics, Computingand graphics, Data analysis, Data mining, Economics andfinance, Efficiency and ro bustness, Functionalsandbias, Fuzzy statistics, Geostatistics, Inferencefor robust methodsandmodeltesting, Locationdepthandregressiondepth, Multivariatemeth ods, Neuralnetworks, Rank-basedmethods,Regressionquantilesandtrimming, Ro bustcovariance,Robustdesigns, Robustregression, Time seriesanalysis, Wavelets. All papers in this volume have been refereed by the Scientific Committee and byanonymousreferees, andwewould liketoexpressoursinceregratitudeto allof them.Thelistofrefereesisgivenattheendofthevolume.Twelvepaperspresented attheconferencearereprintedfromthejournalMetrika(Springer-Verlag),Vol. 55, VI Preface Issue 1-2, 2002. Throughout this volume, the style has been unified as much as possible. The conference was mainly sponsored by the European Commission (Human PotentialProgramme,High-LevelScientificConferences).Thisprogramespecially supportedyoung researchers from European memberstates, and this led to a high numberofyoungscientistsattheconference. The papers in this bookconsiderthe following subjects ofrobust statistics. A fundamental problem ofdata summary, called Weights ofEvidence, is considered byMorgenthalerand Staudteand its robustnesspropertiesare studied.Furtherthe oretical papersmaybepartiallyorderedbykeywords: Scale: H.L. Koul. Skewness: G. Brys, M. Hubert, and A Struyf. Content-correctedtolerance limits: L.T. Fern holz. Quantileregression:D.Tasche.Generalizedlinearmodels: N.M. Neykovand C.H. Miiller. Linearstructuralrelation model: M.M. Soutode Miranda. Nonpara metric regression: A. Kovac; C.H. Miiller. Time series: C. Agostinelli; Y. Kharin. Longitudinal data: E. Cantoni; X. He and M.-O. Kim. Finance: GJ. Lauprete, A.M. Samarov,andR.E. Welsch. Space/time: M.G. Genton. Multivariate methods: M. Hubert, PJ. Rousseeuw, and S. Verboven; G.A Koshevoy; M.R. Oliveira and lA Branco. Tests: T. Bednarski; A.a. Onderand A Zaman; A Peters and P. Sib bertsen; G. Willems, G.Pison,P.J.Rousseeuw,andS. VanAelst. Computational aspects and algorithms are considered by the following au thors: J. Agu1l6; J. Antoch and H. Ekblom; O. Arslan; O. Arslan, O. Edlund, and H. Ekblom; S. Langerman and W. Steiger; AM. Pires; G. Pison, S. Van Aelstand G. Willems;T.Ronkainen,H.Oja,andP. Orponen. Appliedpaperswerewritten by: G.w. BassettJr., M.-Y.S.Tam, andK. Knight; R.Y. Liu; AJ. Stromberg, W. Griffith, and M. Smith. Programming tools are dis cussedby: C. Chen;V. Todorov. RudolfDutter PeterFilzmoser Ursula Gather PeterJ. Rousseeuw Table of Contents Preface. V 0 ••• 0 •••• 0 ••••••••• 0 •••••• 0 •••••••••• 00 ••• 0 •••••• 0..... ListofParticipants XI 0 0 ••••••• 0 •• 0 •••• 0 ••••••• 0 0 ••• 0 ••• 0 0 •• 0 •••• 0 0 0 ListofReferees . XV 0 • 0 ••••••••••• 0 ••••••••••• 0 •••• 0 •••• 0 ••••• 0 • 0 • • • RobustTimeSeriesEstimationviaWeightedLikelihood C. Agostinelli .. 1 0 0 0 ••••• 0 0 • 0 • 0 0 •• 0 0 0 •••• 0 0 • 0 •• 0 0 ••• 0 •••• 0 •• 0 •••• 0 AnExchangeAlgorithmfor Computingthe LeastQuartileDifference Estimator J. Aguila ... o. 17 0 ••••••• 0 •• 0 •• 0 ••••••••••••• 0 • 0 ••• 0 ••••• 0 0 •••••••• SelectedAlgorithmsforRobustM-andL-RegressionEstimators 1. AntochandHo Ekblom . 32 0 0 •••• 0 •• 0 •• 0 •••• 0 ••••••••••• 0 ••••• 0 • • • •• ASimpleTesttoIdentifyGoodSolutionsofRedescendingM Estimating EquationsforRegression O. Arslan.... 50 0 0 •• 0 0 0 • 0 0 •••••• 0 •• 0 •• 0 0 • 0 0 0 •••••• 0 0 0 0 • 0 0 • 0 0 • 0 •••• 0 Algorithmsto ComputeCM-andS-EstimatesforRegression 00 Arslan, 0. Edlund, andH. Ekblom .... 62 0 •• 0 •••••• 0 0 0 0 0 • 0 0 ••• 0 • 0 0 • •• QuantileModelsandEstimatorsforDataAnalysis Go\¥. BassettJr., M.-Y.S. Tam, andK. Knight .. o. 77 0 0 0 •••• 0 ••••••••••••• 0 0 EstimationintheGeneralizedPoissonModelviaRobustTesting T. Bednarski ..... 88 0 ••••• 0 ••• 0 • 0 ••••••••••••••• 0 •• 0 0 •• 0 ••• 0 0 ••• 0 •• AComparisonofSomeNewMeasuresofSkewness G. Brys, M. Hubert, andA. Struyf .. o. 98 0 •••••• 0 •••••• 0 •• 0 •••••••• 0 0 ••• Robust InferenceBased on Quasi-likelihoodsfor Generalized Linear Modelsand LongitudinalData Eo Cantoni . 114 0 • 0 ••••••••• 0 •• 0 0 0 • 0 •• 0 0 •• 0 ••••• 0 0 ••••• 0 •••••• 0 •••• o' RobustToolsinSAS Co Chen ... 125 0 •••••••••••• 0 ••••• 0 •••• 0 •••••••• 00 •• 0.000 •• 0.0 •• 0.0. VIII TableofContents RobustnessIssuesRegarding Content-correctedToleranceLimits L.T. Fernholz 134 Breakdown-pointforSpatiallyandTemporallyCorrelatedObservations M.G. Genton 148 OnMarginalEstimationina SemiparametricModelforLongitudinal DatawithTime-independentCovariates X. He andM.-O. Kim 160 RobustPCAforHigh-dimensionalData M. Hubert, P.l. Rousseeuw, andS. Verboven 169 RobustnessAnalysisinForecastingofTimeSeries Y. Kharin ....................................................... 180 Lift-zonoidandMultivariateDepths G.A. Koshevoy................................................... 194 AsymptoticDistributionsofSomeScaleEstimatorsinNonlinearModels H.L. Koul 203 RobustNonparametricRegressionandModality A. Kovac 218 Computinga HighDepthPointinthePlane w: S. Langermanand Steiger 228 RobustPortfolioOptimization G.J. Lauprete,A.M. Samarov, andR.E. Welsch 235 BootQC:BootstrapforRobustAnalysisofAviationSafetyData R.Y. Liu 246 OptimalWeightsofEvidencewithBoundedInfluence S. MorgenthalerandR. Staudte 259 RobustEstimatorsforEstimatingDiscontinuousFunctions C.H. Muller 266 BreakdownPointandComputationofTrimmedLikelihoodEstimators inGeneralizedLinearModels N.M. NeykovandCH. Muller 277 ComparisonofThreeMethodsforRobustRedundancyAnalysis M.R. Oliveiraandl.A. Branco 287 ATestforNormalityBasedonRobustRegressionResiduals A.O. OnderandA. Zaman 296 TableofContents IX TestsonFractionalCointegration A. PetersandP. Sibbertsen 307 Robust LinearDiscriminantAnalysis and the Projection Pursuit Approach A.M. Pires 317 SmallSampleCorrectionsforLTSandMCD G. Pison, S. VanAelst, andG. Willems 330 ComputationoftheMultivariateOjaMedian T. Ronkainen, H. Oja, andP. Orponen ................................ 344 RobustEstimationin theLinearStructuralRelationModel: AStudyon TIming Constants M.M. Soutode Miranda 360 ControlChartsfortheMedianand InterquartileRange A.J. Stromberg, W Griffith, andM. Smith 368 UnbiasednessinLeastQuantileRegression D. Tasche " 377 TestsofIndependenceBasedonSignandRank Covariances S. Taskinen, A. Kankainen, andH. Oja 387 JavaandComputingforRobustStatistics V. Todorov 404 ARobustHotellingTest G. Willems, G. Pison, P.J. Rousseeuw, andS. VanAelst 417 List ofParticipants ClaudioAgostinelli, UniversityofVenezia,Italy Jose Aguila,UniversidaddeAlicante, Spain JaromirAntoch,CharlesUniversity,Praha,CzechRepublic OkayArslan,UniversityofCukurova,Adana,Turkey MartinBachmaier,WissenschaftszentrumWeihenstephan,Germany GilbertW. Bassett,UniversityofIllinoisatChicago,USA TadeuszBednarski,TechnicalUniversity,ZielonaGora,Poland AnaMariaBianco,UniversityofBuenosAires, Argentina GracielaBoente,UniversityofBuenosAiresandConicet,Argentina Guy Brys,UniversityofAntwerp,Belgium EvaCantoni,UniversityofGeneva,Switzerland BimanChakraborty,NationalUniversityofSingapore,Singapore SampritChatterjee,New YorkUniversity,USA ColinChen,SASInstituteInc.,USA AndreasChristmann,UniversityofDortmund,Germany PantelisChristodoulides,UniversityofVienna, Austria FrankCritchley,TheOpenUniversity,MiltonKeynes,GreatBritain ChristopheCroux,K.U. Leuven,Belgium CatherineDehon,UniversiteLibredeBruxelles,Belgium RositsaDimova,UniversityofSofia,Bulgaria RudolfDutter,ViennaUniversityofTechnology,Austria HakanEkblom,LuleaUniversityofTechnology,Sweden RyanElmore,PennStateUniversity,USA MohammedFekri,INPTRabatMaroc, Maroc LuisaFernholz,TempleUniversity,USA RobertFernholz,INTECH,USA PeterFilzmoser,ViennaUniversityofTechnology,Austria MartaSusanaGarciaBen,UniversityofBuenosAires,Argentina UrsulaGather,UniversityofDortmund,Germany MarcG.Genton, NorthCarolinaStateUniversity,USA RichardGlendinning,DefenceEvaluation& ResearchAgency,GreatBritain GentianeHaesbroeck,UniversityofLiege,Belgium XumingHe,UniversityofIllinois,USA ChristianHennig,UniversityofHamburg,Germany XII ListofParticipants TomP.Hettmansperger,PennStateUniversity,USA PeterRingley,EuropeanPatentOffice,Munich,Germany KurtHornik,ViennaUniversityofTechnology,Austria MiaHubert,CatholicUniversityofLeuven,Belgium JanaJureckova,CharlesUniversity,Praha,CzechRepublic MargitKaiser-Holzer,UniversityofVienna,Austria AnnaliisaKankainen,UniversityofJyvaskyla,Finland BarbaraKavsek, ViennaUniversityofTechnology,Austria Yurij Kharin,BelarussianStateUniversity,Belarus RogerKoenker,UniversityofIllinois,USA GlebKoshevoy,RussianAcademyofSciences,Moscow,Russia HiraL. Koul,MichiganStateUniversity,USA ArneKovac,UniversityofEssen,Germany StefanLangerman,RutgersUniversity,USA ClaudiaLibiseller,LinkopingUniversity,Sweden ReginaY. Liu,RutgersUniversity,USA AlfioMarazzi,SwissFederalInstituteofTechnology,Lausanne,Switzerland RicardoMaronna,UniversitaddeLaPlata,Argentina DouglasR.Martin,InsightfulCorporationandUniversityofWashington,USA ElenaJuliaMartinez,UniversityofBuenosAires, Argentina Jean-ClaudeMasse,UniversiteLaval,Canada TrevorMcMullan,InsightfulCorporation,GreatBritain IvanMizera,UniversityofAlberta,Canada StephanMorgenthaler,EcolePolytechniqueFederaledeLausanne, Switzerland ChristineM. MUller,CarlvonOssietzkyUniversityOldenburg,Germany NeykoNeykov,NationalInstituteofMeterologyandHydrology,Sofia,Bulgaria RozsaNienhaus,UniversityofMUnster,Germany HannuOja,UniversityofJyvaskyla,Finland M.RosarioOliveira,TechnicalUniversityofLisbon,Portugal EsaOllila,UniversityofJyvaskyla,Finland AsiyeOzlemOnder,EgeUniversity,Izrnir,Turkey AndreaPeters,UniversityofErlangen-Nuremberg,Germany AnaM.Pires,TechnicalUniversityofLisbon,Portugal GreetPison,UniversityofAntwerp,Belgium StephenPortnoy,UniversityofIllinois,USA RobertRajko,UniversityofSzegedCollege,Hungary WilliamJ.J.Rey,PhilipsResearchLaboratories,Eindhoven,TheNetherlands HelmutRieder,UniversityofBayreuth,Germany IsabelMariaRodrigues,TechnicalUniversityofLisbon,Portugal ElvezioRonchetti,UniversityofGeneva,Switzerland TomrniRonkainen,UniversityofJyvaskyla,Finland Peter1.Rousseeuw,UniversityofAntwerp,Belgium AnneRuiz-Gazen,UniversiteToulouse1,France JoachimSchOll,ViennaUniversityofTechnology,Austria
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