Robust Statistics: Break Points and Correlation Analysis

In course

Description

This lecture covers the concept of break points in statistics, where a small fraction of contamination can completely destabilize a statistic, and the importance of resistant statistics that do not change much with disrupted data. It also delves into the correlation analysis, emphasizing that correlation does not imply causality and can be misleading. Practical examples and visual representations are used to illustrate these concepts.

Instructor

Official source

https://mediaspace.epfl.ch/media/0_a2zkqabw

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Related concepts (45)

Robust statistics

Robust statistics are statistics with good performance for data drawn from a wide range of probability distributions, especially for distributions that are not normal. Robust statistical methods have been developed for many common problems, such as estimating location, scale, and regression parameters. One motivation is to produce statistical methods that are not unduly affected by outliers. Another motivation is to provide methods with good performance when there are small departures from a parametric distribution.

Robust regression

In robust statistics, robust regression seeks to overcome some limitations of traditional regression analysis. A regression analysis models the relationship between one or more independent variables and a dependent variable. Standard types of regression, such as ordinary least squares, have favourable properties if their underlying assumptions are true, but can give misleading results otherwise (i.e. are not robust to assumption violations).

Robust measures of scale

In statistics, robust measures of scale are methods that quantify the statistical dispersion in a sample of numerical data while resisting outliers. The most common such robust statistics are the interquartile range (IQR) and the median absolute deviation (MAD). These are contrasted with conventional or non-robust measures of scale, such as sample standard deviation, which are greatly influenced by outliers.

Data and information visualization

Data and information visualization (data viz or info viz) is the practice of designing and creating easy-to-communicate and easy-to-understand graphic or visual representations of a large amount of complex quantitative and qualitative data and information with the help of static, dynamic or interactive visual items.

Outlier

In statistics, an outlier is a data point that differs significantly from other observations. An outlier may be due to a variability in the measurement, an indication of novel data, or it may be the result of experimental error; the latter are sometimes excluded from the data set. An outlier can be an indication of exciting possibility, but can also cause serious problems in statistical analyses. Outliers can occur by chance in any distribution, but they can indicate novel behaviour or structures in the data-set, measurement error, or that the population has a heavy-tailed distribution.