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Forum: RobASt release 1.1

Posted by: Peter Ruckdeschel
Date: 2018-08-20 07:26
Summary:RobASt release 1.1
Project:RobASt - Robust Asymptotic Statistics

Updates for the packages of the RobASt family are now avaialable on CRAN in
version >= 1.1.0

Most importantly, we have (finally) released on CRAN a (long announced) new
package

"RobExtremes"

in the RobASt family of packages.

+ It provides (speeded up) optimally-robust estimators [MBRE, OMSE, RMXE]
for Generalized Extreme Value [GEV] distributions, Generalized Pareto
distributions [GPD], Pareto distributions,
+ As other examples of L2 differentiable Scale-shape families, it also
provides these (speeded up) estimators for Weibull and Gamma
distributions.
+ It has robust (high-breakdown) starting estimators for
- GPD (PickandsEstimator, medkMAD, medSn, medQn)
- GEV (PickandsEstimator)
- Pareto (Cramér-von-Mises-Minimum-Distance-Estimator)
- Weibull (the quantile based estimator of Boudt/Caliskan/Croux)
+ For all these families, of course, MLEs and Minimum-Distance-Estimators
are also available through package distrMod
+ We bridge to the diagnostics provided by package ismev, i.e. our
return objects can be plugged into the diagnostics of this package
+ We have the usual diagnostic plots from package RobAStBase, i.e.
- Outylingness plots
- IC plots
- Information plots
- compareIC plots
- Cniperpoint plots (from ROptEst)
but also (adopted from package distrMod)
- qqplots (with confidence bands)
- returnlevel plots
+ As a starting point you may look at the included script
"RobFitsAtRealData.R" in the scripts folder of the package,
accessible by
file.path(system.file(package="RobExtremes"),
"scripts/RobFitsAtRealData.R")

This is joint work with Nataliya Horbenko (whose PhD thesis went into this
package to a large extent), nataliya.horbenko@gmail.de, with contributions
by Dasha Pupashenko, Misha Pupashenko, Gerald Kroisandt, Eugen Massini,
Sascha Desmettre and Bernhard Spangl in the framework of project
"Robust Risk Estimation" (2011-2016) funded by Volkswagen foundation
(and gratefully ackknowledged). Thanks also goes to the maintainers of CRAN,
in particully to Uwe Ligges who greatly helped us with finding an appropriate
way to store the database of interpolating functions which allow the speed up
-- this is now package RobAStRDA on CRAN.

References
N. Horbenko, P. Ruckdeschel, T. Bae (2011): Robust Estimation of Operational
Risk. Journal of Operational Risk 6(2), 3-30.
Ruckdeschel, P. and Horbenko, N. (2011): Optimally-Robust Estimators in
Generalized Pareto Models. Statistics. 47(4), 762–791.
Ruckdeschel, P. and Horbenko, N. (2012): Yet another breakdown point notion:
EFSBP –illustrated at scale-shape models. Metrika, 75(8), 1025–1047.

=================================================================================
In the other packages of the RobASt family of pkgs, the most important changes are:

As in distr 2.7, wherever possible we now use q.l internally instead of q to
provide functionality in IRKernel


RobAStBase:
- we enhanced our diagnostic plots:
+ all diagnostics (including qqplot and returnlevelplot) have adopted the same
argument naming (and selection paradigm)
the suffix is .lbs instead of .lbl,
the attributes of shown points have ending .pts
the observations are classed into three groups:
- the labelled observations selected through which.lbs and which.Order
- the shown non labelled observations (which are not in the previous set)
selected by which.nonlbs
- the non-shown observations (the remaining ones not contained in the former 2 grps)
-> point attributes may either refer to prior selection or to post-selection in
which case we have .npts variants
+ wherever possible arguments are vectorized to allow point - individual attributes
+ plot methods now return an S3 object of class \code{c("plotInfo","DiagnInfo")},
i.e., a list containing the information needed to produce the respective plot,
which at a later stage could be used by different graphic engines (like, e.g.
\code{ggplot}) to produce the plot in a different framework.
+ new methods for returnlevelplot for RobModel, InfRobModel, kStepEstimate (as qqplot)
ROptEst:
+ new wrapper functions RMXEstimator, OBREstimator, MBREstimator, OMSEstimator
+ several tweaks to speed up things:
- optIC gains argument withMakeIC
- roptest gains argument withMakeIC
- getStartIC-methods gain argument withMakeIC
- getRiskIC and getBiasIC gain argument withCheck
RobAStRDA:
+ the Lagrange multiplier interpolaters allowing for speed up in our opt-robust
estimators have been re-built as the current .rda file was corrupted

For details please see the NEWS files in the packages, available as
NEWS("<pkgname>").

Best regards from the main developpers & maintainers,
Peter Ruckdeschel (peter.ruckdeschel@uni-oldenburg.de) &
Matthias Kohl (matthias.kohl@stamats.de)

Latest News

RobASt release 1.1

Peter Ruckdeschel - 2018-08-20 07:26 -

Version 0.8 of RobASt-family of packages on CRAN soon

Peter Ruckdeschel - 2011-01-20 09:53 -

version 0.7 of robast-family on CRAN

Matthias Kohl - 2009-11-07 13:23 -

New package RobLoxBioC in project RobASt

Matthias Kohl - 2009-04-26 16:18 -

New versions of RobASt-packages on CRAN

Matthias Kohl - 2008-09-16 19:04 -

 

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