Most signal processing and statistical applications heavily rely on specific data distribution models. The Gaussian distributions, although being the most common choice, are inadequate in most real world scenarios as they fail to account for data coming from heavy-tailed populations or contaminated by outliers. Such problems call for the use of Robust Statistics. The robust models and estimators are usually based on elliptical populations, making the latter ubiquitous in all methods of robust statistics. To determine whether such tools are applicable in any specific case, goodness-of-fit (GoF) tests are used to verify the ellipticity hypothesis. Ellipticity GoF tests are usually hard to analyze and often their statistical power is not particularly strong. In this work, assuming the true covariance matrix is unknown we design and rigorously analyze a robust GoF test consistent against all alternatives to ellipticity on the unit sphere. The proposed test is based on Tyler's estimator and is formulated in terms of easily computable statistics of the data. For its rigorous analysis, we develop a novel framework based on the exchangeable random variables calculus introduced by de Finetti. Our findings are supported by numerical simulations comparing them to other popular GoF tests and demonstrating the significantly higher statistical power of the suggested technique.
翻译:大多数信号处理和统计应用严重依赖特定的数据分布模型。高斯分布虽然是最常见的选择,但在大多数实际情况下不足,因为它们不能说明来自重尾种群或受到异常值污染的数据。这些问题需要使用Robust Statistics。健壮模型和估计器通常基于椭圆形种群,从而使后者在健壮统计学的所有方法中无处不在。为了确定在任何特定情况下是否适用这些工具,使用拟合优度(GoF)检验验证椭圆假设。椭圆形状的GoF测试通常难以分析,而且往往统计功率并不特别强。在本文中,假设真实的协方差矩阵未知,我们设计并严格分析了一种对球面单位上的所有椭圆形式外推一致的健壮GoF测试。所提出的测试基于Tyler's估计器,并以易于计算的数据统计量为基础。为了对其进行严格的分析,我们开发了一种基于de Finetti引入的可交换随机变量演算法的新框架。我们的发现得到了数值模拟的支持,这些模拟将其与其他流行的GoF测试进行了比较,并展示了建议技术的显着更高的统计功率。