Robust estimation for non-homogeneous data and the selection of the optimal tuning parameter: the density power divergence approach

Abstract

The density power divergence (DPD) measure, defined in terms of a single parameter α, has proved to be a popular tool in the area of robust estimation [1]. Recently, Ghosh and Basu [5] rigorously established the asymptotic properties of the MDPDEs in case of independent non-homogeneous observations. In this paper, we present an extensive numerical study to describe the performance of the method in the case of linear regression, the most common setup under the case of non-homogeneous data. In addition, we extend the existing methods for the selection of the optimal robustness tuning parameter from the case of independent and identically distributed (i.i.d.) data to the case of non-homogeneous observations. Proper selection of the tuning parameter is critical to the appropriateness of the resulting analysis. The selection of the optimal robustness tuning parameter is explored in the context of the linear regression problem with an extensive numerical study involving real and simulated data.