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The Catline for Deep Regression

Listed author(s):
  • Hubert, Mia
  • Rousseeuw, Peter J.

Motivated by the notion of regression depth (Rousseeuw and Hubert, 1996) we introduce thecatline, a new method for simple linear regression. At any bivariate data setZn={(xi, yi);i=1, ..., n} its regression depth is at leastn/3. This lower bound is attained for data lying on a convex or concave curve, whereas for perfectly linear data the catline attains a depth ofn. We construct anO(n log n) algorithm for the catline, so it can be computed fast in practice. The catline is Fisher-consistent at any linear modely=[beta]x+[alpha]+ein which the error distribution satisfies med(e  x)=0, which encompasses skewed and/or heteroscedastic errors. The breakdown value of the catline is 1/3, and its influence function is bounded. At the bivariate gaussian distribution its asymptotic relative efficiency compared to theL1line is 79.3% for the slope, and 88.9% for the intercept. The finite-sample relative efficiencies are in close agreement with these values. This combination of properties makes the catline an attractive fitting method.

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Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 66 (1998)
Issue (Month): 2 (August)
Pages: 270-296

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Handle: RePEc:eee:jmvana:v:66:y:1998:i:2:p:270-296
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