Welcome to CSI 779 / STAT 789

Topics in Computational Statistics

Robust Statistical Methods

Spring, 2003

Instructor: James Gentle

Instructor's email: jgentle@gmu.edu

Class meets on Wednesdays from 4:30pm to 7:10pm in Robinson A249.


Whenever the ordinary assumptions underlying a statistical method do not hold, or when we are unsure what assumptions we can make, robust methods are necessary. This course is covers a variety of robust statistical methods, beginning with simple inferences in univariate analyses. A major portion of the course will concern robust regression.

Prerequsites for this course include a course in applied statistics and a course in statistical inference.


The text for the course is Introduction to Robust Estimation and Hypothesis Testing, by Rand R. Wilcox (1997).
The most important text in the area remains Robust Statistics, by Peter J. Huber (1981).
We will also use some journal articles, particularly ones selected by the students for their projects, and an evolving set of notes by the instructor.


Student work in the course (and the relative weighting of this work in the overall grade) will consist of
  • a number of small assignments, problems, etc. (20)
  • a semester project to replicate and extend a published Monte Carlo study (40)
  • a final exam consisting of an in-class component and a take-home component (40)

    You must have an account on a system that has a web server. The CSI system is scs.gmu.edu. There are several other possibilities, including the university systems mason.gmu.edu and osf1.gmu.edu, and systems in IT&E. If you do not have an account yet, you can get one on scs.gmu.edu by filling out a request form that you can get from the SCS office in 103 Science & Technology I.

    The scs.gmu.edu system requires a secure login (ssh) and secure ftp. You can get information about the system and options for accessing it at www.scs.gmu.edu/computing/

    Here's a source of utility freeware, including programs for ssh.

    Here's info on getting an account on the main GMU computers.

    Each student will prepare a Web page for presentation of the project and for some of the smaller assignments.
    Here's more info on making a webpage, especially on GMU computers.

    There are several programs that help you write html. I do not use any of these but you may find them useful. You can also produce html output directly from Microsoft Word. I do not use that for html either. (In fact, I use Word as infrequently as possible.)

    You are strongly encouraged to prepare your written reports relating to you project using TeX or LaTeX. This is a typesetting program that is available on a number of GMU computing systems and is widely available on PCs. Information about TeX can be obtained at the TeX Users' Group. It is best to put material on the web in PDF format, which can be generated easily from TeX.

    The main software used in the course will be S-Plus or R.
    A student version of S-Plus can be obtained at http://elms03.e-academy.com/splus/
    Information about R, including links for downloading, can be obtained at http://www.r-project.org/

    Wilcox has developed a number of S-Plus or R functions to implement various methods he discusses in the text. He has revised these functions, and plain text versions of them can be downloaded from his site.
    Also Dallas had downloaded the original set (called "allfun") and, with Rand Wilcox's permission, I have put them here.


    The lectures will not necessarily follow the text, but I will post various comments about the text.
    It will be assumed that you will read the text, and since the class is small, specific points in the text may only be discussed in response to questions -- so feel free to ask questions!
    Here are some references for robust statistics. This is an eclectic list that will grow as the semester progresses.
    Here are some terms that arise in robust statistics. This is an eclectic list that will grow as the semester progresses. You should become generally familiar with all of these terms.

    Schedule


    January 22

    Course overview; method of communication; Computer organization: Unix and basic tools; S-Plus, R.
    Monte Carlo studies in statistics.

    January 29


    February 5


    February 12


    February 19

    Class canceled because of snow.
    Class will be made up during spring break, and, possibly, by an additional class on May 14.

    February 26

    • Wilcox, Chapter 3: Estimation of "robust measures".
      Robust estimators corresponding to the "robust" measures of Chapter 2.
      See my comments.

      Methods for estimation of the standard deviations (standard "errors") of the of the estimators. Four ways:
      1) represent variance as a function of the influence function; then estimate it;
      2) use the relationship of the CDF of order statistics to the beta distribution;
      3) use the actual variances of normal order statistics;
      4) use resampling methods.
      Pay particular attention to the approximation for the variance of the trimmed mean, equation (3.4), and an estimator of it, equation (3.8).

      Two robust scale estimators: biweight midvariance and the percentage bend variance.


    March 5

    • Wilcox, Chapter 4: Confidence intervals in the one-sample case.
      To form a confidence region, we need to know the distribution of some statistic that is parametrized only by the parameter of interest. Usually, we make approximations based on asymptotic distributions. In the simplest cases, the asymptotic distribution is normal, so all we need is an approximation for the variance, and a way of estimating it. (Note that these are two separate things.) This is asymptotic inference.
      Another way of forming confidence regions is by the bootstrap. The fundamental idea is that the discrete uniform distribution over the mass points of the sample is a good representation of the population from which the sample was drawn. (This, of course, assumes the sampling was simple random -- recall, we are concerned with "distributional robustness".) The discrete uniform distribution is generally easy to work with, so we may be able to work out properties of statistics from that simple distribution, and from those, infer properties of the population from which the sample was obtained. If we cannot fully work out the properties of a statistic from the discrete uniform distribution, we have another way to address the problem: resampling. This is computer-intensive or computational inference.

      Assignment: Get Wilcox's S-Plus functions from his website.
      Work problems 2, 3, 4, 6, 7 in Chapter 4.
      (For many of the problems you should just write the S-Plus code yourself, but you can use his functions when it's convenient.)
      These problems as well as those from Chapter 3 will be due March 19


    March 12

    • Wilcox, Chapter 5: Comparing two groups.
      Robust issues in comparing two groups.
      We must always keep in mind the objective of a statistical analysis. Usually when we compare two groups, the question is whether the means are the same (t test or some other test based on an assumption of the distributional family). Sometimes, we only want to compare the medians of the two populations represented by the two groups (various nonparametric tests). Occasionally, we want to compare the variances of the two populations.
      The real question, however, may be whether the distributions are the same (not just whether some specific measure is the same).
      Wilcox defines "completely effective" and "partially effective", based on quantiles, as a meaningful comparison between two groups (his choice of words is motivated by a context of a "treatment" group and a "control" group).
      K-S measures and statistics, and weighted K-S statistic.
      An asymetric measure and statistic: the shift function; "S bands" and "W bands".
      Simultaneous confidence bands for a set of specified quantiles, based on the Harrell-Davis estimator.
      Student's t; lack of robustness -- see examples on pp 107--109 for unequal variances and for skewness. Test exceeds nominal level (confidence regions too small), and power may not increase (test is not "unbiased").
      "heteroscedastic methods"
      The Yuen-Welch test (for equality of trimmed means), test statistic equation (5.14). Get confidence intervals using t or using percentile t bootstrap.
      Percentile bootstrap with M estimators.
      Percentile bootstrap with biweight midvariances.
      The Mann-Whitney-Wilcoxon test and Mee's confidence based on it.
      Paired data.
      Assignment: Work problems 1, 5, 7, 9, 10 in Chapter 5. (Hand in on April 16.)

    March 19

    • Wilcox, Chapter 6: One-way and higher designs.

      Review linear classification models.
      Use of trimmed means in a one-way layout.


    March 26

    • Preliminary presentations of projects.

    April 2

    • Presentations of student reviews and critiques of fellow students' papers.

      Robust methods in classification models of additive linear effects.

      Heteroscedasticity problems.  
      The Behrens-Fisher type of problem gets even worse as the number
      of groups increases.
      The problem is that the nominal level of the F test is exceeded,
      and the problem is worse for unequal sample sizes.
      Also, the test is not unbiased for the hypothesis of the mean.
      What about using the F test just as a test of equality of distributions?
      This is changing the problem -- 
      also, in any event, the F test has low power when the distributions have
      heavy tails.
      
      Characteristics of what Wilcox calls a "heteroscedastic method".
       * variances are not pooled 
        (Welch, 1933, 1951, Satterthwaite, 1946) 
       * degrees of freedom are adjusted 
        (Welch, 1933, 1951, Satterthwaite, 1946, Yuen, 1974) 
       * scale or variance measures do not include extreme order statistics 
        (Yuen, 1974)
         this also probably makes the procedure more robust to other things
         "effective sample size"
      
      Use of trimmed means in two-sample, one-way, multi-way layouts.
        -- "effective sample size"
       * the Yuen-Welch ideas are similar throughout.
       * for one-way, the generalized "Box" method 
         (Lix, Keselman, and Carriere, 1996)
         very similar to the Yuen-Welch method
      The basic idea is to use trimmed means in the "between sums of squares"
      and to use Winsorized data in the "within sums of squares".
      
      What about skewness?
        percentile t bootstrap method
      
      Contrasts.
      Definitions; why important.
      Form with Kronecker products.
      
      M-estimators -- use percentile bootstrap
      
      Tests of medians based on Harrell-Davis estimator 
        -- use percentile bootstrap
      
      Rank-based procedures -- extension of Kruskal-Wallis test.
        (Rust and Fligner, 1984)
      
      Random effects model.
      Deal with heteroscedasticity problems same as before -- 
          first, do not pool variances; 
          second, adjust degrees of freedom
            (Jeyaratnam and Othman, 1985)
          next, use trimmed means (Wilcox, 1994)
      
      Other variance structures, such as those arising from
      repeated measures, split plot designs, other dependencies,
      require similar kinds of approaches.
      

      Assignment: Work problems 3, 7 (data), 8, 9 (data), 10, 11 in Chapter 6. (Hand in on April 16.)

    April 9

    • Structure in multivariate data.
      Assignment: Work problems 2 (the data are the same as in exercise 7 of Chapter 6), 3, 11, 12 in Chapter 7. (Hand in on April 16.)

    April 16

    • Robust methods in regression.
      Assignment: Work problems 6 (the data are the same as in exercise 7 of Chapter 6), 7, 8, 9, 14 in Chapter 8.

    April 23

    • Presentations of projects.

    April 30

    • Miscellaneous topics from Chapter 9.
      Assignment: Work problems 1 (the data are the same as in exercise 7 of Chapter 6), 2, 14 in Chapter 9.
    • Hand out take-home portion of exam.

    May 7

    • Review, wrap-up.

    May 14

    • In-class portion of exam.


    Students

  • Darryl Creel
  • Dallas Frederick
  • Mark Lukens