On the super-efficiency and robustness of the least squares of depth-trimmed regression estimator

Yijun Zuo; Hanwen Zuo

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arXiv · 2501.14791

On the super-efficiency and robustness of the least squares of depth-trimmed regression estimator

Yijun Zuo·Hanwen Zuo

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Abstract

The least squares of depth-trimmed (LST) residuals regression, proposed and studied in Zuo and Zuo (2023), serves as a robust alternative to the classic least squares (LS) regression as well as a strong competitor to the renowned robust least trimmed squares (LTS) regression of Rousseeuw (1984). The aim of this article is three-fold. (i) to reveal the super-efficiency of the LST and demonstrate it can be as efficient as (or even more efficient than) the LS in the scenarios with errors uncorrelated and mean zero and homoscedastic with finite variance and to explain this anti-Gaussian-Markov-Theorem phenomenon; (ii) to demonstrate that the LST can outperform the LTS, the benchmark of robust regression estimator, on robustness, and the MM of Yohai (1987), the benchmark of efficient and robust estimator, on both efficiency and robustness, consequently, could serve as an alternative to both; (iii) to promote the implementation and computation of the LST regression for a broad group of statisticians in statistical practice and to demonstrate that it can be computed as fast as (or even faster than) the LTS based on a newly improved algorithm.

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Yijun Zuo, Hanwen Zuo. 2025-01-10. On the super-efficiency and robustness of the least squares of depth-trimmed regression estimator. https://arxiv.org/abs/2501.14791

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