Robust Fitting of a Wrapped Normal Model to Multivariate Circular Data and Outlier Detection

• Main Authors: Luca Greco, Giovanni Saraceno, Claudio Agostinelli
• Format: Article
• Language: English
• Published: MDPI AG 2021-06-01
• Series: Stats
• Subjects: classification; EM; mahalanobis distance; MCD; MM-estimation; weighted likelihood
• Online Access: https://www.mdpi.com/2571-905X/4/2/28

In this work, we deal with a robust fitting of a wrapped normal model to multivariate circular data. Robust estimation is supposed to mitigate the adverse effects of outliers on inference. Furthermore, the use of a proper robust method leads to the definition of effective outlier detection rules. Robust fitting is achieved by a suitable modification of a classification-expectation-maximization algorithm that has been developed to perform a maximum likelihood estimation of the parameters of a multivariate wrapped normal distribution. The modification concerns the use of complete-data estimating equations that involve a set of data dependent weights aimed to downweight the effect of possible outliers. Several robust techniques are considered to define weights. The finite sample behavior of the resulting proposed methods is investigated by some numerical studies and real data examples.