Optimally robust estimation
Function to compute optimally robust estimates for L2-differentiable parametric families via k-step construction.
robest(x, L2Fam, fsCor = 1, risk = asMSE(), steps = 1L, verbose = NULL, OptOrIter = "iterate", nbCtrl = gennbCtrl(), startCtrl = genstartCtrl(), startICCtrl = genstartICCtrl(), kStepCtrl = genkStepCtrl(), na.rm = TRUE, ..., debug = FALSE, withTimings = FALSE, diagnostic = FALSE)
x |
sample |
L2Fam |
object of class |
fsCor |
positive real: factor used to correct the neighborhood radius; see details. |
risk |
object of class |
steps |
positive integer: number of steps used for k-steps construction |
verbose |
logical: if |
OptOrIter |
character; which method to be used for determining Lagrange
multipliers |
nbCtrl |
a list specifying input concerning the used neighborhood;
to be generated by a respective call to |
startCtrl |
a list specifying input concerning the used starting estimator;
to be generated by a respective call to |
startICCtrl |
a list specifying input concerning the call to
|
kStepCtrl |
a list specifying input concerning the used variant of
a kstepEstimator;
to be generated by a respective call to |
na.rm |
logical: if |
... |
further arguments |
debug |
logical: if |
withTimings |
logical: if |
diagnostic |
logical; if |
A new, more structured interface to the former function roptest
.
For details, see this function.
In some respects this functions allows for more granular arguments,
in the sense that the different steps (a) computation of the inital estimator,
resp. (a') in case initial.est
is missing computation of the initial
MDE, (b) computation of the optimal IC and (c) computation of the k-step
estimator each can have individial arguments E.arglist
to be
passed on to calls to expectation operator E
within each step.
These different arguments are passed through the input generating functions
genstartCtrl
,
genstartICCtrl
, and
kStepCtrl
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
.
Object of class "kStepEstimate"
. In addition, it has
an attribute "timings"
where computation time is stored.
Matthias Kohl Matthias.Kohl@stamats.de,
Peter Ruckdeschel peter.ruckdeschel@uni-oldenburg.de
## Don't test to reduce check time on CRAN ############################# ## 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) ## Family BF <- BinomFamily(size = 25) ## ML-estimate MLest <- MLEstimator(x, BF) estimate(MLest) confint(MLest) ## compute optimally robust estimator (known contamination) nb <- gennbCtrl(eps=0.05) robest1 <- robest(x, BF, nbCtrl = nb, steps = 3) 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) nb2 <- gennbCtrl(eps.lower = 0, eps.upper = 0.2) robest2 <- robest(x, BF, nbCtrl = nb2, steps = 3) estimate(robest2) confint(robest2, method = symmetricBias()) plot(pIC(robest2)) ## total variation neighborhoods (known deviation) nb3 <- gennbCtrl(eps = 0.025, neighbor = TotalVarNeighborhood()) robest3 <- robest(x, BF, nbCtrl = nb3, steps = 3) estimate(robest3) confint(robest3, method = symmetricBias()) plot(pIC(robest3)) ## total variation neighborhoods (unknown deviation) nb4 <- gennbCtrl(eps.lower = 0, eps.upper = 0.1, neighbor = TotalVarNeighborhood()) robest3 <- robest(x, BF, nbCtrl = nb4, steps = 3) robest4 <- robest(x, BinomFamily(size = 25), nbCtrl = nb4, 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)) ## Family PF <- PoisFamily() ## ML-estimate MLest <- MLEstimator(x, PF) estimate(MLest) confint(MLest) ## compute optimally robust estimator (unknown contamination) nb1 <- gennbCtrl(eps.upper = 0.1) robest <- robest(x, PF, nbCtrl = nb1, 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) nb2 <- gennbCtrl(eps.upper = 0.05, neighbor = TotalVarNeighborhood()) robest1 <- robest(x, PF, nbCtrl = nb2, steps = 3) estimate(robest1) confint(robest1, symmetricBias()) plot(pIC(robest1)) ############################# ## 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) ## Family NF <- NormLocationScaleFamily() ## ML-estimate MLest <- MLEstimator(chem, NF) estimate(MLest) confint(MLest) ## Don't run to reduce check time on CRAN ## Not run: ## compute optimally robust estimator (known contamination) ## takes some time -> you can use package RobLox for normal ## location and scale which is optimized for speed nb1 <- gennbCtrl(eps = 0.05) robEst <- robest(chem, NF, nbCtrl = nb1, steps = 3) estimate.call(robEst) attr(robEst,"timings") 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) fsCor0 <- r.fi/r nb1 <- gennbCtrl(eps = 0.05) robest <- robest(chem, NF, nbCtrl = nb1, fsCor = fsCor0, steps = 3) estimate(robest) } ## compute optimally robust estimator (unknown contamination) ## takes some time -> use package RobLox! nb2 <- gennbCtrl(eps.lower = 0.05, eps.upper = 0.1) robest1 <- robest(chem, NF, nbCtrl = nb2, steps = 3) estimate(robest1) confint(robest1, symmetricBias()) plot(pIC(robest1)) ## plot of relative and absolute information; cf. Kohl (2005) infoPlot(pIC(robest1)) ## End(Not run)
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.