Robust Inference after Random Projections via Hellinger Distance for Location-Scale Family
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Date
2019
Authors
Li, Lei
Vidyashankar, Anand N.
Diao, Guoqing
Ahmed, Ejaz
Journal Title
Journal ISSN
Volume Title
Publisher
Entropy
Abstract
Big data and streaming data are encountered in a variety of contemporary applications in business and industry. In such cases, it is common to use random projections to reduce the dimension of the data yielding compressed data. These data however possess various anomalies such as heterogeneity, outliers, and round-off errors which are hard to detect due to volume and processing challenges. This paper describes a new robust and efficient methodology, using Hellinger distance, to analyze the compressed data. Using large sample methods and numerical experiments, it is demonstrated that a routine use of robust estimation procedure is feasible. The role of double limits in understanding the efficiency and robustness is brought out, which is of independent interest