Finding multivariate outliers with FastPCS

Kaveh Vakili and Eric Schmitt

Computational Statistics & Data Analysis, 2014, vol. 69, issue C, 54-66

Abstract: The Projection Congruent Subset (PCS) is a new method for finding multivariate outliers. Like many other outlier detection procedures, PCS searches for a subset which minimizes a criterion. The difference is that the new criterion was designed to be insensitive to the outliers. PCS is supported by FastPCS, a fast and affine equivariant algorithm which is also detailed. Both an extensive simulation study and a real data application from the field of engineering show that FastPCS performs better than its competitors.

Keywords: Outlier detection; Multivariate statistics; Computational statistics (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:69:y:2014:i:c:p:54-66

DOI: 10.1016/j.csda.2013.07.021

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