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@% = ../inst/xtraR/plot-psiFun.R --> p.psiFun() --> robustbase:::matPlotPsi() {for nice legends; lines ..}
\begin{document}
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\title{Definitions of \texorpdfstring{$\psi$}{psi}-Functions Available in Robustbase}
\author{Manuel Koller and Martin M\"achler}
\maketitle
\tableofcontents
\section*{Preamble}
Unless otherwise stated, the following definitions of functions are
given by \citet[p. 31]{MarRMY06}, however our definitions differ sometimes slightly
from theirs, as we prefer a different way of \emph{standardizing} the
functions. To avoid confusion, we first define
$\psi$- and $\rho$-functions.
\begin{definition}\label{def.psi}
A \emph{$\psi$-function} is a piecewise continuous function $\psi: \R \to \R$ such that
\begin{enumerate}
\item $\psi$ is odd, i.e., \ $\psi(-x) = -\psi(x) \: \forall x$,
\item $\psi(x) \ge 0$ for $x \ge 0$, and $\psi(x) > 0$ for $0 < x < x_r :=
\sup\{\tilde x : \psi(\tilde x) > 0\}$ \ \ ($x_r > 0$, possibly $x_r = \infty$).
\item[3*] Its slope is $1$ at $0$, i.e., $\displaystyle \psi'(0) = 1$.
\end{enumerate}
Note that `3*' is not strictly required mathematically, but
we use it for standardization in those cases where $\psi$ is continuous
at 0. Then, it also follows (from 1.) that $\psi(0) = 0$, and we require
$\psi(0)=0$ also for the case where $\psi$ is discontinuous in 0, as it is,
e.g., for the M-estimator defining the median.
\end{definition}
\begin{definition}
A \emph{$\rho$-function} can be represented by the following % definite
integral of a $\psi$-function,
\begin{equation}\label{def.rho}
\rho(x) = \int_0^x \psi(u) du\;,
\end{equation}
which entails that $\rho(0) = 0$ and $\rho$ is an even function.
\end{definition}
A $\psi$-function is called \emph{redescending} if $\psi(x) = 0$ for
all $x \ge x_r$ for $x_r < \infty$, and $x_r$ is often called
\emph{rejection point}. Corresponding to a redescending
$\psi$-function, we define the function $\tilde\rho$, a version of $\rho$
standardized such as to attain maximum value one. Formally,
\begin{equation}
\label{eq:tilde-rho}
\tilde\rho(x) = \rho(x)/\rho(\infty).
\end{equation}
Note that $\rho(\infty) = \rho(x_r) \equiv \rho(x) \ \forall \abs{x} >= x_r$.
$\tilde\rho$ is a $\rho$-function as defined in
\citet{MarRMY06} and has been called $\chi$ function in other contexts. For
example, in package \pkg{robustbase}, \code{Mchi(x, *)} computes
$\tilde\rho(x)$, whereas \code{Mpsi(x, *, deriv=-1)}
(``(-1)-st derivative'' is the primitive or antiderivative) computes $\rho(x)$,
both according to the above definitions.
\textbf{Note:} An alternative slightly more general definition of
\emph{redescending} would only require $\rho(\infty) :=
\lim_{x\to\infty}\rho(x)$ to be finite. E.g., \texttt{"Welsh"} does \emph{not} have a finite
rejection point, but \emph{does} have bounded $\rho$, and hence well defined
$\rho(\infty)$, and we \emph{can} use it in
\texttt{lmrob()}.\footnote{E-mail Oct.~18, 2014 to Manuel and Werner,
proposing to change the definition of ``redescending''.}
%% \section{Weak Redescenders}
%% \subsection{t_nu score functions}
%% t_1 (=Cauchy) has been propagated as "Lorentzian merit function"
%% regression for outlier detection
\paragraph{Weakly redescending $\psi$ functions.}\
Note that the above definition does require a finite rejection point $x_r$. Consequently,
e.g., the score function $s(x) = -f'(x)/f(x)$ for the Cauchy ($= t_1$)
distribution, which is $s(x) = 2x/(1+x^2)$ and hence non-monotone and ``re
descends'' to 0 for $x\to \pm\infty$, and $\psi_C(x) := s(x)/2$ also
fulfills ${\psi_C}'(0) = 1$, but it has $x_r=\infty$ and hence $\psi_C()$
is \emph{not} a redescending $\psi$-function in our sense.
As they appear e.g. in the MLE for $t_\nu$, we call $\psi$-functions fulfulling
$\lim_{x\to\infty}\psi(x) = 0$ \emph{weakly redescending}.
Note that they'd naturally fall into two sub categories, namely the one
with a \emph{finite} $\rho$-limit, i.e. $\rho(\infty) :=
\lim_{x\to\infty}\rho(x)$, and those, as e.g., the $t_\nu$ score functions
above, for which $\rho(x)$ is unbounded even though $\rho' = \psi$ tends to zero.
%% --> ../../TODO section 'Psi/Rho/Chi/Wgt Functions'
%% ~~~~~~~~~~
%%
%% FIXME: where?? MM: can no longer find it in Hampel et al(1986) \citet{hamfrrs86}.
%% FIXME: 0) Mention our psi_func class // and the C interface for "the other" functions
%% ----- i.e., we currently have *both* and in addition there is all
%% the (to be *deprecated* !) ../R/biweight-funs.R (& ../man/tukeyChi.Rd & ../man/tukeyPsi1.Rd)
%%
%% FIXME: 1) explain plot(<psiFun>) {the plot method of psi_func}
%% FIXME: 2) Show how to compute asymptotic efficiency and breakdown point:
%% -------
%% a) end of ../../tests/psi-rho-etc.R has aeff.P() and bp.P() and chkP()
%% which now uses the psi_func class to compute these *analytically*
%% b) Of course, Manuel had used the numeric integration only,
%% in ../../R/lmrob.MM.R, lmrob.efficiency(psi, cc, ...) and lmrob.bp(psi, cc, ...)
%% ~~~~~~~~~~~~~~~~~~
%% c) *REALLY* nice general solution is via PhiI() in ../../R/psi-rho-funs.R
%% for all piecewise polynomial psi()/rho() ~~~~~~~~~~~~~~~~~~~~~~
%%\clearpage
\section{Monotone \texorpdfstring{$\psi$}{psi}-Functions}
Montone $\psi$-functions lead to convex $\rho$-functions such that the
corresponding M-estimators are defined uniquely.
Historically, the ``Huber function'' has been the first $\psi$-function,
proposed by Peter Huber in \citet{HubP64}.
\clearpage
\subsection{Huber}
The family of Huber functions is defined as,
\begin{align*}
\rho_k(x) = {}& \left\{ \begin{array}{ll}
\frac{1}{2} x^2 & \mbox{ if } \abs{x} \leq k \\
k(\abs{x} - \frac{k}{2})& \mbox{ if } \abs{x} > k
\end{array} \right. \;,\\
\psi_k(x) = {} & \left\{ \begin{array}{ll}
x & \mbox{ if } \abs{x} \leq k \\
k \ \sign(x)& \mbox{ if } \abs{x} > k
%% -k & \mbox{ if } x < -k \\
%% k & \mbox{ if } x > k
\end{array} \right. \;.
\end{align*}
The constant $k$ for $95\%$ efficiency of the regression estimator is
$1.345$.
\begin{figure}[h]
\centering
<<Huber, echo=TRUE>>=
plot(huberPsi, x., ylim=c(-1.4, 5), leg.loc="topright", main=FALSE)
@
\caption{Huber family of functions using tuning parameter $k = 1.345$.}
\end{figure}
\bigskip
\section{Redescenders}
For the MM-estimators and their generalizations available via
\texttt{lmrob()} (and for some methods of \texttt{nlrob()}),
the $\psi$-functions are all redescending, i.e., with finite ``rejection point''
$x_r = \sup\{t; \psi(t) > 0\} < \infty$.
From \texttt{lmrob}, the psi functions are available via
\texttt{lmrob.control}, or more directly, \texttt{.Mpsi.tuning.defaults},
<<lmrob-psi, echo=TRUE,fig=FALSE>>=
names(.Mpsi.tuning.defaults)
@ %$
and their $\psi$, $\rho$, $\psi'$, and weight function $w(x) := \psi(x)/x$,
are all computed efficiently via C code, and are defined and visualized in
the following subsections.
\clearpage
\subsection{Bisquare}
Tukey's bisquare (aka ``biweight'') family of functions is defined as,
\begin{equation*}
\tilde\rho_k(x) = \left\{ \begin{array}{cl}
1 - \bigl(1 - (x/k)^2 \bigr)^3 & \mbox{ if } \abs{x} \leq k \\
1 & \mbox{ if } \abs{x} > k
\end{array} \right.\;,
\end{equation*}
with derivative ${\tilde\rho_k}'(x) = 6\psi_k(x) / k^2$ where,
\begin{equation*}
\psi_k(x) = x \left( 1 - \left(\frac{x}{k}\right)^2\right)^2 \cdot I_{\{\abs{x} \leq k\}}\;.
\end{equation*}
The constant $k$ for $95\%$ efficiency of the regression estimator is
$4.685$ and the constant for a breakdown point of $0.5$ of the
S-estimator is $1.548$. Note that the \emph{exact} default tuning constants
for M- and MM- estimation in \pkg{robustbase} are available via \code{.Mpsi.tuning.default()}
and \code{.Mchi.tuning.default()}, respectively, e.g., here,
% \begin{small}
<<tuning-defaults, echo=TRUE,fig=FALSE>>=
print(c(k.M = .Mpsi.tuning.default("bisquare"),
k.S = .Mchi.tuning.default("bisquare")), digits = 10)
@
% \end{small}
and that the \code{p.psiFun(.)} utility is available via
%\begin{small}
<<note-p-psiFun, echo=TRUE, eval=FALSE>>=
<<source-p-psiFun>>
@
%\end{small}
%\enlargethispage{3ex}
\begin{figure}[h]
\centering
<<bisquare, echo=TRUE>>=
p.psiFun(x., "biweight", par = 4.685)
@
\caption{Bisquare family functions using tuning parameter $k = 4.685$.}
\end{figure}
\clearpage
\subsection{Hampel}
The Hampel family of functions \citep{hamfrrs86} is defined as,
\begin{align*}
\tilde\rho_{a, b, r}(x) ={}& \left\{ \begin{array}{ll}
\frac{1}{2} x^2 / C & \abs{x} \leq a \\
\left( \frac{1}{2}a^2 + a(\abs{x}-a)\right) / C & a < \abs{x} \leq b \\
\frac{a}{2}\left( 2b - a + (\abs{x} - b)
\left(1 + \frac{r - \abs{x}}{r-b}\right) \right) / C
& b < \abs{x} \leq r \\
1 & r < \abs{x}
\end{array} \right. \;, \\
\psi_{a, b, r}(x) ={}& \left\{ \begin{array}{ll}
x & \abs{x} \leq a \\
a \ \sign(x) & a < \abs{x} \leq b \\
a \ \sign(x) \frac{r - \abs{x}}{r - b}& b < \abs{x} \leq r \\
0 & r < \abs{x}
\end{array} \right.\;,
\end{align*}
where $ C := \rho(\infty) = \rho(r)
= \frac{a}{2}\left( 2b - a + (r - b) \right)
= \frac{a}{2}(b-a + r)$.
As per our standardization, $\psi$ has slope $1$ in the center.
The slope of the redescending part ($x\in[b,r]$) is $-a/(r-b)$.
If it is set to $-\frac 1 2$, as recommended sometimes, one has
\begin{equation*}
r = 2a + b\;.
\end{equation*}
Here however, we restrict ourselves to $a = 1.5 k$, $b = 3.5 k$, and $r = 8k$,
hence a redescending slope of $-\frac 1 3$, and vary $k$ to get the desired
efficiency or breakdown point.
The constant $k$ for $95\%$ efficiency of the regression estimator is
$0.902$ (0.9016085, to be exact) and the one for a breakdown point of $0.5$
of the S-estimator is $0.212$ (i.e., 0.2119163).
%% --> ../R/lmrob.MM.R, .Mpsi.tuning.defaults .Mchi.tuning.defaults
\begin{figure}[h]
\centering
<<Hampel>>=
## see also hampelPsi
p.psiFun(x., "Hampel", par = ## Default, but rounded:
round(c(1.5, 3.5, 8) * 0.9016085, 1))
@
\caption{Hampel family of functions using tuning parameters $0.902 \cdot (1.5, 3.5, 8)$.}
\end{figure}
\clearpage
\subsection{GGW}\label{ssec:ggw}
The Generalized Gauss-Weight function, or \emph{ggw} for short, is a
generalization of the Welsh $\psi$-function (subsection
\ref{ssec:Welsh}). In \citet{ks2011} it is defined as,
\begin{equation*}
%% \label{eq:ggw}
\psi_{a, b, c}(x) = \left\{
\begin{array}{ll}
x & \abs{x} \leq c \\
\exp\left(-\frac{1}{2}\frac{(\abs{x} - c)^b}{a}\right)x & \abs{x} > c
\end{array} \right. \;.
\end{equation*}
Our constants, fixing $b=1.5$, and minimial slope at $- \frac 1 2$,
for $95\%$ efficiency of the regression estimator
are $a = 1.387$, $b = 1.5$ and $c = 1.063$, and those for a breakdown point of $0.5$ of the S-estimator
are $a = 0.204$, $b = 1.5$ and $c = 0.296$:
<<GGW-const, echo=TRUE, fig=FALSE>>=
cT <- rbind(cc1 = .psi.ggw.findc(ms = -0.5, b = 1.5, eff = 0.95 ),
cc2 = .psi.ggw.findc(ms = -0.5, b = 1.5, bp = 0.50)); cT
@
Note that above, \code{cc*[1]}$= 0$, \code{cc*[5]}$ = \rho(\infty)$, and
\code{cc*[2:4]}$ = (a, b, c)$. To get this from $(a,b,c)$, you could use
<<rhoInf-ggw, echo=TRUE, fig=FALSE>>=
ipsi.ggw <- .psi2ipsi("GGW") # = 5
ccc <- c(0, cT[1, 2:4], 1)
integrate(.Mpsi, 0, Inf, ccc=ccc, ipsi=ipsi.ggw)$value # = rho(Inf)
@
\begin{figure}[h]
\centering
<<GGW, echo=TRUE>>=
p.psiFun(x., "GGW", par = c(-.5, 1, .95, NA))
@
\caption{GGW family of functions using tuning parameters $a=1.387$, $b=1.5$
and $c=1.063$.}
\end{figure}
\clearpage
\subsection{LQQ}
The ``linear quadratic quadratic'' $\psi$-function, or \emph{lqq} for short,
was proposed by \citet{ks2011}. It is defined as,
\begin{equation*}
\psi_{b,c,s}(x) = \left\{
\begin{array}{ll}
x & \abs{x} \leq c \\
\sign(x)\left(\abs{x} - \frac{s}{2b}\left(\abs{x} - c\right)^2
\right)
& c < \abs{x} \leq b + c \\
\sign(x)\left(c+b-\frac{bs}{2} + \frac{s-1}{a}
\left(\frac{1}{2}\tilde x^2 - a\tilde x\right)
\right) &
b + c < \abs{x} \leq a + b + c \\
0 & \mbox{otherwise,}
\end{array} \right.
\end{equation*}
where
\begin{equation}
\tilde x := \abs{x} - b - c \ \ \mathrm{and}\ \ a := (2c + 2b - bs)/(s-1).\label{lqq.a}
\end{equation}
The parameter $c$ determines the width of the central identity part. The
sharpness of the bend is adjusted by $b$ while the maximal rate of descent
is controlled by $s$ ($s = 1 - \min_x\psi'(x) > 1$). From (\ref{lqq.a}),
the length $a$ of the final descent to $0$ is a function of $b$, $c$ and $s$.
<<lqq-const, echo=TRUE, fig=FALSE>>=
cT <- rbind(cc1 = .psi.lqq.findc(ms= -0.5, b.c = 1.5, eff=0.95, bp=NA ),
cc2 = .psi.lqq.findc(ms= -0.5, b.c = 1.5, eff=NA , bp=0.50))
colnames(cT) <- c("b", "c", "s"); cT
@
If the minimal slope is set to $-\frac 1 2$, i.e., $s = 1.5$, and $b/c = 3/2 = 1.5$,
the constants for $95\%$ efficiency of the regression estimator are
$b=1.473$, $c=0.982$ and $s=1.5$, and those for a breakdown point of $0.5$ of the S-estimator are
$b=0.402$, $c=0.268$ and $s=1.5$.
\begin{figure}[h]
\centering
<<LQQ, echo=TRUE>>=
p.psiFun(x., "LQQ", par = c(-.5,1.5,.95,NA))
@
\caption{LQQ family of functions using tuning parameters $b=1.473$,
$c=0.982$ and $s=1.5$.}
\end{figure}
\clearpage
\subsection{Optimal}
The optimal $\psi$ function as given by \citet[Section~5.9.1]{MarRMY06},
\begin{equation*}
\psi_c(x) = \sign(x)\left(-\frac{\varphi'(\abs{x}) + c}
{\varphi(\abs{x})}\right)_+\;,
\end{equation*}
where $\varphi$ is the standard normal density, $c$ is a constant and $t_+ :=
\max(t, 0)$ denotes the positive part of $t$.
Note that the \pkg{robustbase} implementation uses rational approximations
originating from the \pkg{robust} package's implementation.
That approximation also avoids an anomaly for small $x$ and has a very
different meaning of $c$.
The constant for $95\%$ efficiency of the regression estimator is $1.060$ and
the constant for a breakdown point of $0.5$ of the S-estimator is $0.405$.
\begin{figure}[h]
\centering
<<optimal>>=
p.psiFun(x., "optimal", par = 1.06, leg.loc="bottomright")
@
\caption{`Optimal' family of functions using tuning parameter $c = 1.06$.}
\end{figure}
\clearpage
\subsection{Welsh}\label{ssec:Welsh}
The Welsh $\psi$ function is defined as, %% FIXME: REFERENCE MISSING
%\def\xk{\frac{x}{k}}
\def\xk{x/k}
%\def\xkdt{-\frac{1}{2}\left(\xk\right)^2}
\def\xkdt{- \left(\xk\right)^2 / 2}
\begin{align*}
\tilde\rho_k(x) ={}& 1 - \exp\bigl(\xkdt\bigr) \\
\psi_k(x) ={}& k^2\tilde\rho'_k(x) = x\exp\bigl(\xkdt\bigr) \\
\psi'_k(x) ={}& \bigl(1 - \bigl(\xk\bigr)^2\bigr) \exp\bigl(\xkdt\bigr)
\end{align*}
The constant $k$ for $95\%$ efficiency of the regression estimator is $2.11$ and
the constant for a breakdown point of $0.5$ of the S-estimator is $0.577$.
Note that GGW (subsection \ref{ssec:ggw}) is a 3-parameter generalization
of Welsh, matching for $ b = 2 $, $ c = 0 $, and $ a = k^2$ (see R code there):
<<Welsh-GGW, echo=TRUE, fig=FALSE>>=
ccc <- c(0, a = 2.11^2, b = 2, c = 0, 1)
(ccc[5] <- integrate(.Mpsi, 0, Inf, ccc=ccc, ipsi = 5)$value) # = rho(Inf)
stopifnot(all.equal(Mpsi(x., ccc, "GGW"), ## psi[ GGW ](x; a=k^2, b=2, c=0) ==
Mpsi(x., 2.11, "Welsh")))## psi[Welsh](x; k)
@
\begin{figure}[h]
\centering
<<Welsh>>=
p.psiFun(x., "Welsh", par = 2.11)
@
\caption{Welsh family of functions using tuning parameter $k = 2.11$.}
\end{figure}
\bibliographystyle{chicago}
\bibliography{robustbase}
\end{document}