The power of monitoring: how to make the most of a contaminated multivariate sample
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Diagnostic tools must rely on robust high-breakdown methodologies to avoid distortion in the presence of contamination by outliers. However, a disadvantage of having a single, even if robust, summary of the data is that important choices concerning parameters of the robust method, such as breakdown point, have to be made prior to the analysis. The effect of such choices may be difficult to evaluate. We argue that an effective solution is to look at several pictures, and possibly to a whole movie, of the available data. This can be achieved by monitoring, over a range of parameter values, the results computed through the robust methodology of choice. We show the information gain that monitoring provides in the study of complex data structures through the analysis of multivariate datasets using different high-breakdown techniques. Our findings support the claim that the principle of monitoring is very flexible and that it can lead to robust estimators that are as efficient as possible. We also address through simulation some of the tricky inferential issues that arise from monitoring.
KeywordsData movie Forward search Outlier detection MM-estimation S-estimation Trimming Reweighting
We are very grateful to the Editor, Tommaso Proietti, for inviting this paper and for organizing its discussion. We also thank Alessio Farcomeni, Luca Greco, Domenico Perrotta and two anonymous reviewers for helpful comments on a previous draft. MR and ACA gratefully acknowledge support from the CRoNoS project, reference CRoNoS COST Action IC1408.
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