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Quantiles for finite and infinite dimensional data

  • Fraiman, Ricardo
  • Pateiro-López, Beatriz
Registered author(s):

    A new projection-based definition of quantiles in a multivariate setting is proposed. This approach extends in a natural way to infinite-dimensional Hilbert spaces. The directional quantiles we define are shown to satisfy desirable properties of equivariance and, from an interpretation point of view, the resulting quantile contours provide valuable information when plotting them. Sample quantiles estimating the corresponding population quantiles are defined and consistency results are obtained. The new concept of principal quantile directions, closely related in some situations to principal component analysis, is found specially attractive for reducing the dimensionality and visualizing important features of functional data. Asymptotic properties of the empirical version of principal quantile directions are also obtained. Based on these ideas, a simple definition of robust principal components for finite and infinite-dimensional spaces is also proposed. The presented methodology is illustrated with examples throughout the paper.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0047259X12000176
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    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 108 (2012)
    Issue (Month): C ()
    Pages: 1-14

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    Handle: RePEc:eee:jmvana:v:108:y:2012:i:c:p:1-14
    DOI: 10.1016/j.jmva.2012.01.016
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    1. Marc Hallin & Davy Paindaveine & Miroslav Siman, 2008. "Multivariate quantiles and multiple-output regression quantiles: from L1 optimization to halfspace depth," Working Papers ECARES 2008_042, ULB -- Universite Libre de Bruxelles.
    2. Hyndman, Rob J. & Shahid Ullah, Md., 2007. "Robust forecasting of mortality and fertility rates: A functional data approach," Computational Statistics & Data Analysis, Elsevier, vol. 51(10), pages 4942-4956, June.
    3. López-Pintado, Sara & Romo, Juan, 2009. "On the Concept of Depth for Functional Data," Journal of the American Statistical Association, American Statistical Association, vol. 104(486), pages 718-734.
    4. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    5. Li, Baibing & Martin, Elaine B. & Morris, A. Julian, 2002. "On principal component analysis in L1," Computational Statistics & Data Analysis, Elsevier, vol. 40(3), pages 471-474, September.
    6. Manuel Febrero & Pedro Galeano & Wenceslao González-Manteiga, 2007. "A functional analysis of NOx levels: location and scale estimation and outlier detection," Computational Statistics, Springer, vol. 22(3), pages 411-427, September.
    7. Robert Serfling, 2002. "Quantile functions for multivariate analysis: approaches and applications," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 56(2), pages 214-232.
    8. Peter Hall & Mohammad Hosseini-Nasab, 2006. "On properties of functional principal components analysis," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(1), pages 109-126.
    9. Antonio Cuevas & Manuel Febrero & Ricardo Fraiman, 2007. "Robust estimation and classification for functional data via projection-based depth notions," Computational Statistics, Springer, vol. 22(3), pages 481-496, September.
    10. Ricardo Fraiman & Graciela Muniz, 2001. "Trimmed means for functional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 10(2), pages 419-440, December.
    11. N. Locantore & J. Marron & D. Simpson & N. Tripoli & J. Zhang & K. Cohen & Graciela Boente & Ricardo Fraiman & Babette Brumback & Christophe Croux & Jianqing Fan & Alois Kneip & John Marden & Daniel P, 1999. "Robust principal component analysis for functional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(1), pages 1-73, June.
    12. Cuevas, Antonio & Fraiman, Ricardo, 2009. "On depth measures and dual statistics. A methodology for dealing with general data," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 753-766, April.
    13. Boente, Graciela, 1987. "Asymptotic theory for robust principal components," Journal of Multivariate Analysis, Elsevier, vol. 21(1), pages 67-78, February.
    14. Boente, Graciela & Fraiman, Ricardo, 2000. "Kernel-based functional principal components," Statistics & Probability Letters, Elsevier, vol. 48(4), pages 335-345, July.
    15. Lopez-Pintado, Sara & Romo, Juan, 2007. "Depth-based inference for functional data," Computational Statistics & Data Analysis, Elsevier, vol. 51(10), pages 4957-4968, June.
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