roptest: Optimally robust estimation

In ROptEst: Optimally Robust Estimation

Optimally robust estimation

Description

Function to compute optimally robust estimates for L2-differentiable parametric families via k-step construction.

Usage

roptest(x, L2Fam, eps, eps.lower, eps.upper, fsCor = 1, initial.est, 
        neighbor = ContNeighborhood(), risk = asMSE(), steps = 1L, 
        distance = CvMDist, startPar = NULL, verbose = NULL,
        OptOrIter = "iterate",
        useLast = getRobAStBaseOption("kStepUseLast"),
        withUpdateInKer = getRobAStBaseOption("withUpdateInKer"),
        IC.UpdateInKer = getRobAStBaseOption("IC.UpdateInKer"),
        withICList = getRobAStBaseOption("withICList"),
        withPICList = getRobAStBaseOption("withPICList"),
        na.rm = TRUE, initial.est.ArgList, ...,
        withLogScale = TRUE, ..withCheck = FALSE, withTimings = FALSE,
        withMDE = NULL, withEvalAsVar = NULL, withMakeIC = FALSE,
        modifyICwarn = NULL, E.argList = NULL, diagnostic = FALSE)
roptest.old(x, L2Fam, eps, eps.lower, eps.upper, fsCor = 1, initial.est,
        neighbor = ContNeighborhood(), risk = asMSE(), steps = 1L,
        distance = CvMDist, startPar = NULL, verbose = NULL,
        OptOrIter = "iterate",
        useLast = getRobAStBaseOption("kStepUseLast"),
        withUpdateInKer = getRobAStBaseOption("withUpdateInKer"),
        IC.UpdateInKer = getRobAStBaseOption("IC.UpdateInKer"),
        withICList = getRobAStBaseOption("withICList"),
        withPICList = getRobAStBaseOption("withPICList"),
        na.rm = TRUE, initial.est.ArgList, ...,
        withLogScale = TRUE)

Arguments

x	sample
L2Fam	object of class "L2ParamFamily"
eps	positive real (0 < eps <= 0.5): amount of gross errors. See details below.
eps.lower	positive real (0 <= eps.lower <= eps.upper): lower bound for the amount of gross errors. See details below.
eps.upper	positive real (eps.lower <= eps.upper <= 0.5): upper bound for the amount of gross errors. See details below.
fsCor	positive real: factor used to correct the neighborhood radius; see details.
initial.est	initial estimate for unknown parameter. If missing, a minimum distance estimator is computed.
neighbor	object of class "UncondNeighborhood"
risk	object of class "RiskType"
steps	positive integer: number of steps used for k-steps construction
distance	distance function used in MDEstimator, which in turn is used as (default) starting estimator.
startPar	initial information used by optimize resp. optim; i.e; if (total) parameter is of length 1, startPar is a search interval, else it is an initial parameter value; if NULL slot startPar of ParamFamily is used to produce it; in the multivariate case, startPar may also be of class Estimate, in which case slot untransformed.estimate is used.
verbose	logical: if TRUE, some messages are printed
useLast	which parameter estimate (initial estimate or k-step estimate) shall be used to fill the slots pIC, asvar and asbias of the return value.
OptOrIter	character; which method to be used for determining Lagrange multipliers A and a: if (partially) matched to "optimize", getLagrangeMultByOptim is used; otherwise: by default, or if matched to "iterate" or to "doubleiterate", getLagrangeMultByIter is used. More specifically, when using getLagrangeMultByIter, and if argument risk is of class "asGRisk", by default and if matched to "iterate" we use only one (inner) iteration, if matched to "doubleiterate" we use up to Maxiter (inner) iterations.
withUpdateInKer	if there is a non-trivial trafo in the model with matrix D, shall the parameter be updated on ker(D)?
IC.UpdateInKer	if there is a non-trivial trafo in the model with matrix D, the IC to be used for this; if NULL the result of getboundedIC(L2Fam,D) is taken; this IC will then be projected onto ker(D).
withPICList	logical: shall slot pICList of return value be filled?
withICList	logical: shall slot ICList of return value be filled?
na.rm	logical: if TRUE, the estimator is evaluated at complete.cases(x).
initial.est.ArgList	a list of arguments to be given to argument start if the latter is a function; this list by default already starts with two unnamed items, the sample x, and the model L2Fam.
...	further arguments
withLogScale	logical; shall a scale component (if existing and found with name scalename) be computed on log-scale and backtransformed afterwards? This avoids crossing 0.
..withCheck	logical: if TRUE, debugging info is issued.
withTimings	logical: if TRUE, separate (and aggregate) timings for the three steps evaluating the starting value, finding the starting influence curve, and evaluating the k-step estimator is issued.
withMDE	logical or NULL: Shall a minimum distance estimator be used as starting estimator—in addition to the function given in slot startPar of the L2 family? If NULL (default), the content of slot .withMDE in the L2 family is used instead to take this decision.
withEvalAsVar	logical or NULL: if TRUE (default), tells R to evaluate the asymptotic variance or if FALSE just to produces a call to do so. If withEvalAsVar is NULL (default), the content of slot .withEvalAsVar in the L2 family is used instead to take this decision.
withMakeIC	logical; if TRUE the [p]IC is passed through makeIC before return.
modifyICwarn	logical: should a (warning) information be added if modifyIC is applied and hence some optimality information could no longer be valid? Defaults to NULL in which case this value is taken from RobAStBaseOptions.
E.argList	NULL (default) or a list of arguments to be passed to calls to E from (a) MDEstimator (here this additional argument is only used if initial.est is missing), (b) getStartIC, and (c) kStepEstimator. Potential clashes with arguments of the same name in ... are resolved by inserting the items of argument list E.argList as named items, so in case of collisions the item of E.argList overwrites the existing one from ....
diagnostic	logical; if TRUE, diagnostic information on the performed integrations is gathered and shipped out as attributes kStepDiagnostic (for the kStepEstimator-step) and diagnostic for the remaining steps of the return value of roptest.

Details

Computes the optimally robust estimator for a given L2 differentiable parametric family. The computation uses a k-step construction with an appropriate initial estimate; cf. also kStepEstimator. Valid candidates are e.g. Kolmogorov(-Smirnov) or von Mises minimum distance estimators (default); cf. Rieder (1994) and Kohl (2005).

Before package version 0.9, this computation was done with the code of function roptest.old (with the same formals). From package version 0.9 on, this function uses the modularized function robest internally.

If the amount of gross errors (contamination) is known, it can be specified by eps. The radius of the corresponding infinitesimal contamination neighborhood is obtained by multiplying eps by the square root of the sample size.

If the amount of gross errors (contamination) is unknown, try to find a rough estimate for the amount of gross errors, such that it lies between eps.lower and eps.upper.

In case eps.lower is specified and eps.upper is missing, eps.upper is set to 0.5. In case eps.upper is specified and eps.lower is missing, eps.lower is set to 0.

If neither eps nor eps.lower and/or eps.upper is specified, eps.lower and eps.upper are set to 0 and 0.5, respectively.

If eps is missing, the radius-minimax estimator in sense of Rieder et al. (2001, 2008), respectively Section 2.2 of Kohl (2005) is returned.

Finite-sample and higher order results suggest that the asymptotically optimal procedure is to liberal. Using fsCor the radius can be modified - as a rule enlarged - to obtain a more conservative estimate. In case of normal location and scale there is function finiteSampleCorrection which returns a finite-sample corrected (enlarged) radius based on the results of large Monte-Carlo studies.

The logic in argument initial.est is as follows: It can be a numeric vector of the length of the unknow parameter or a function or it can be missing. If it is missing, one consults argument startPar for a search interval (if a one dimensional unknown parameter) or a starting value for the search (if the dimension of the unknown parameter is larger than one). If startPar is missing, too, it takes the value from the corresponding slot of argument L2Fam. Then, if argument withMDE is TRUE a Minimum-Distance estimator is computed as initial value initial.est with distance as specified in argument distance and possibly further arguments as passed through ....

In the next step, the value of initial.est (either if not missing from beginning or as computed through the MDE) is then passed on to kStepEstimator.start which then takes out the essential information for the sequel, i.e., a numeric vector of the estimate.

At this initial value the optimal influence curve is computed through interface getStartIC, which in turn, depending on the risk calls optIC, radiusMinimaxIC, or computes the IC from precomputed grid values in case of risk being of class interpolRisk. With the obtained optimal IC, kStepEstimator is called.

The default value of argument useLast is set by the global option kStepUseLast which by default is set to FALSE. In case of general models useLast remains unchanged during the computations. However, if slot CallL2Fam of IC generates an object of class "L2GroupParamFamily" the value of useLast is changed to TRUE. Explicitly setting useLast to TRUE should be done with care as in this situation the influence curve is re-computed using the value of the one-step estimate which may take quite a long time depending on the model.

If useLast is set to TRUE the computation of asvar, asbias and IC is based on the k-step estimate.

Timings for the steps run through in roptest are available in attributes timings, and for the step of the kStepEstimator in kStepTimings.

One may also use the arguments startCtrl, startICCtrl, and kStepCtrl of function robest. This allows for individual settings of E.argList, withEvalAsVar, and withMakeIC for the different steps. If any of the three arguments startCtrl, startICCtrl, and kStepCtrl is used, the respective attributes set in the correspondig argument are used and, if colliding with arguments directly passed to roptest, the directly passed ones are ignored.

Diagnostics on the involved integrations are available if argument diagnostic is TRUE. Then there are attributes diagnostic and kStepDiagnostic attached to the return value, which may be inspected and assessed through showDiagnostic and getDiagnostic.

Value

Object of class "kStepEstimate". In addition, it has an attribute "timings" where computation time is stored.

Author(s)

Matthias Kohl [e-mail],
Peter Ruckdeschel [e-mail]

References

Kohl, M. (2005) Numerical Contributions to the Asymptotic Theory of Robustness. Bayreuth: Dissertation.

Kohl, M. and Ruckdeschel, P. (2010): R package distrMod: Object-Oriented Implementation of Probability Models. J. Statist. Softw. 35(10), 1–27

Kohl, M. and Ruckdeschel, P., and Rieder, H. (2010): Infinitesimally Robust Estimation in General Smoothly Parametrized Models. Stat. Methods Appl., 19, 333–354.

Rieder, H. (1994) Robust Asymptotic Statistics. New York: Springer.

Rieder, H., Kohl, M. and Ruckdeschel, P. (2008) The Costs of not Knowing the Radius. Statistical Methods and Applications 17(1) 13-40.

Rieder, H., Kohl, M. and Ruckdeschel, P. (2001) The Costs of not Knowing the Radius. Appeared as discussion paper Nr. 81. SFB 373 (Quantification and Simulation of Economic Processes), Humboldt University, Berlin; also available under doi: 10.18452/3638

See Also

roblox, L2ParamFamily-class UncondNeighborhood-class, RiskType-class

Examples

## Don't run to reduce check time on CRAN
## Not run: 
#############################
## 1. Binomial data
#############################
## generate a sample of contaminated data
set.seed(123)
ind <- rbinom(100, size=1, prob=0.05)
x <- rbinom(100, size=25, prob=(1-ind)*0.25 + ind*0.9)

## ML-estimate
MLest <- MLEstimator(x, BinomFamily(size = 25))
estimate(MLest)
confint(MLest)

## compute optimally robust estimator (known contamination)
robest1 <- roptest(x, BinomFamily(size = 25), eps = 0.05, steps = 3)
robest1.0 <- roptest.old(x, BinomFamily(size = 25), eps = 0.05, steps = 3)
identical(robest1,robest1.0)
estimate(robest1)
confint(robest1, method = symmetricBias())
## neglecting bias
confint(robest1)
plot(pIC(robest1))
tmp <- qqplot(x, robest1, cex.pch=1.5, exp.cex2.pch = -.25,
              exp.fadcol.pch = .55, jit.fac=.9)

## compute optimally robust estimator (unknown contamination)
robest2 <- roptest(x, BinomFamily(size = 25), eps.lower = 0, eps.upper = 0.2, steps = 3)
estimate(robest2)
confint(robest2, method = symmetricBias())
plot(pIC(robest2))

## total variation neighborhoods (known deviation)
robest3 <- roptest(x, BinomFamily(size = 25), eps = 0.025, 
                   neighbor = TotalVarNeighborhood(), steps = 3)
estimate(robest3)
confint(robest3, method = symmetricBias())
plot(pIC(robest3))

## total variation neighborhoods (unknown deviation)
robest4 <- roptest(x, BinomFamily(size = 25), eps.lower = 0, eps.upper = 0.1, 
                   neighbor = TotalVarNeighborhood(), steps = 3)
estimate(robest4)
confint(robest4, method = symmetricBias())
plot(pIC(robest4))

#############################
## 2. Poisson data
#############################
## Example: Rutherford-Geiger (1910); cf. Feller~(1968), Section VI.7 (a)
x <- c(rep(0, 57), rep(1, 203), rep(2, 383), rep(3, 525), rep(4, 532), 
       rep(5, 408), rep(6, 273), rep(7, 139), rep(8, 45), rep(9, 27), 
       rep(10, 10), rep(11, 4), rep(12, 0), rep(13, 1), rep(14, 1))

## ML-estimate
MLest <- MLEstimator(x, PoisFamily())
estimate(MLest)
confint(MLest)

## compute optimally robust estimator (unknown contamination)
robest <- roptest(x, PoisFamily(), eps.upper = 0.1, steps = 3)
estimate(robest)
confint(robest, symmetricBias())

plot(pIC(robest))
tmp <- qqplot(x, robest, cex.pch=1.5, exp.cex2.pch = -.25,
              exp.fadcol.pch = .55, jit.fac=.9)
 
## total variation neighborhoods (unknown deviation)
robest1 <- roptest(x, PoisFamily(), eps.upper = 0.05, 
                  neighbor = TotalVarNeighborhood(), steps = 3)
estimate(robest1)
confint(robest1, symmetricBias())
plot(pIC(robest1))

## End(Not run)

#############################
## 3. Normal (Gaussian) location and scale
#############################
## 24 determinations of copper in wholemeal flour
library(MASS)
data(chem)
plot(chem, main = "copper in wholemeal flour", pch = 20)

## ML-estimate
MLest <- MLEstimator(chem, NormLocationScaleFamily())
estimate(MLest)
confint(MLest)

## Don't run to reduce check time on CRAN

## compute optimally robust estimator (known contamination)
## takes some time -> you can use package RobLox for normal 
## location and scale which is optimized for speed
robest <- roptest(chem, NormLocationScaleFamily(), eps = 0.05, steps = 3)
estimate(robest)
confint(robest, symmetricBias())
plot(pIC(robest))
## plot of relative and absolute information; cf. Kohl (2005)
infoPlot(pIC(robest))

tmp <- qqplot(chem, robest, cex.pch=1.5, exp.cex2.pch = -.25,
              exp.fadcol.pch = .55, withLab = TRUE, which.Order=1:4,
              exp.cex2.lbl = .12,exp.fadcol.lbl = .45,
              nosym.pCI = TRUE, adj.lbl=c(1.7,.2),
              exact.pCI = FALSE, log ="xy")

## finite-sample correction
if(require(RobLox)){
    n <- length(chem)
    r <- 0.05*sqrt(n)
    r.fi <- finiteSampleCorrection(n = n, r = r)
    fsCor <- r.fi/r
    robest <- roptest(chem, NormLocationScaleFamily(), eps = 0.05, 
                      fsCor = fsCor, steps = 3)
    estimate(robest)
}

## compute optimally robust estimator (unknown contamination)
## takes some time -> use package RobLox!
robest1 <- roptest(chem, NormLocationScaleFamily(), eps.lower = 0.05, 
                   eps.upper = 0.1, steps = 3)
estimate(robest1)
confint(robest1, symmetricBias())
plot(pIC(robest1))
## plot of relative and absolute information; cf. Kohl (2005)
infoPlot(pIC(robest1))

ROptEst documentation built on Nov. 17, 2022, 1:06 a.m.