Exact computation of projection regression depth and fast computation of its induced median and other estimators

Abstract: Zuo (2019) (Z19) addressed the computation of the projection regression depth (PRD) and its induced median (the maximum depth estimator). Z19 achieved the exact computation of PRD via a modified version of regular univariate sample median, which resulted in the loss of invariance of PRD and the equivariance of depth induced median. This article achieves the exact computation without scarifying the invariance of PRD and the equivariance of the regression median. Z19 also addressed the approximate computation of PRD induced median, the naive algorithm in Z19 is very slow. This article modifies the approximation in Z19 and adopts Rcpp package and consequently obtains a much (could be $100$ times) faster algorithm with an even better level of accuracy meanwhile. Furthermore, as the third major contribution, this article introduces three new depth induced estimators which can run $300$ times faster than that of Z19 meanwhile maintaining the same (or a bit better) level of accuracy. Real as well as simulated data examples are presented to illustrate the difference between the algorithms of Z19 and the ones proposed in this article. Findings support the statements above and manifest the major contributions of the article.