Robust distances for outlier-free goodness-of-fit testing

Andrea Cerioli, Alessio Farcomeni and Marco Riani

Computational Statistics & Data Analysis, 2013, vol. 65, issue C, 29-45

Abstract: Robust distances are mainly used for the purpose of detecting multivariate outliers. The precise definition of cut-off values for formal outlier testing assumes that the “good” part of the data comes from a multivariate normal population. Robust distances also provide valuable information on the units not declared to be outliers and, under mild regularity conditions, they can be used to test the postulated hypothesis of multivariate normality of the uncontaminated data. This approach is not influenced by nasty outliers and thus provides a robust alternative to classical tests for multivariate normality relying on Mahalanobis distances. One major advantage of the suggested procedure is that it takes into account the effect induced by trimming of outliers in several ways. First, it is shown that stochastic trimming is an important ingredient for the purpose of obtaining a reliable estimate of the number of “good” observations. Second, trimming must be allowed for in the empirical distribution of the robust distances when comparing them to their nominal distribution. Finally, alternative trimming rules can be exploited by controlling alternative error rates, such as the False Discovery Rate. Numerical evidence based on simulated and real data shows that the proposed method performs well in a variety of situations of practical interest. It is thus a valuable companion to the existing outlier detection tools for the robust analysis of complex multivariate data structures.

Keywords: Beta distribution; False discovery rate; Multivariate normality; Outlier removal; Reweighted MCD; Trimming (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:65:y:2013:i:c:p:29-45

DOI: 10.1016/j.csda.2012.03.008

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