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Reducing the mean squared error of quantile-based estimators by smoothing

Author

Listed:
  • Mia Hubert

    ()

  • Irène Gijbels
  • Dina Vanpaemel

Abstract

Many univariate robust estimators are based on quantiles. As already theoretically pointed out by Fernholz (in J. Stat. Plan. Inference 57(1), 29–38, 1997 ), smoothing the empirical distribution function with an appropriate kernel and bandwidth can reduce the variance and mean squared error (MSE) of some quantile-based estimators in small data sets. In this paper we apply this idea on several robust estimators of location, scale and skewness. We propose a robust bandwidth selection and bias reduction procedure. We show that the use of this smoothing method indeed leads to smaller MSEs, also at contaminated data sets. In particular, we obtain better performances for the medcouple which is a robust measure of skewness that can be used for outlier detection in skewed distributions. Copyright Sociedad de Estadística e Investigación Operativa 2013

Suggested Citation

  • Mia Hubert & Irène Gijbels & Dina Vanpaemel, 2013. "Reducing the mean squared error of quantile-based estimators by smoothing," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 448-465, September.
  • Handle: RePEc:spr:testjl:v:22:y:2013:i:3:p:448-465
    DOI: 10.1007/s11749-012-0293-3
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    References listed on IDEAS

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    1. Ci­zek, P. & Tamine, J. & Härdle, W., 2008. "Smoothed L-estimation of regression function," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5154-5162, August.
    2. Jin Zhang & Xueren Wang, 2009. "Robust normal reference bandwidth for kernel density estimation," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(1), pages 13-23.
    3. Hubert, M. & Vandervieren, E., 2008. "An adjusted boxplot for skewed distributions," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5186-5201, August.
    4. A. Delaigle & I. Gijbels, 2002. "Estimation of integrated squared density derivatives from a contaminated sample," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(4), pages 869-886.
    5. Mia Hubert & Stephan Van der Veeken, 2010. "Robust classification for skewed data," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 4(4), pages 239-254, December.
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