Outlier Detection via a Block Diagonal Product Estimator

查看全文 作　　者：LI [1]Chikun;JIN [1]Baisuo

机构地区：[1]School of Management,University of Science and Technology of China,Hefei 230026,China

出　　处：《Journal of Systems Science & Complexity》索引2022年第35卷第5期,共15页

基　　金：supported by the National Natural Science Foundation of China under Grant Nos.71873128 and 72111530199。 摘　　要：Outlier detection is a fundamental topic in robust statistics.Traditional outlier detection methods try to find a clean subset of given size,which is used to estimate the location vector and scatter matrix,and the outliers can be flagged by the Mahalanobis distance.However,methods such as the minimum covariance determinant approach cannot be applied directly to high-dimensional data,especially when the dimension of the sample is greater than the sample size.A novel fast detection procedure based on a block diagonal partition is proposed,and the asymptotic distribution of the modified Mahalanobis distance is obtained.The authors verify the specificity and sensitivity of this procedure by simulation and real data analysis in high-dimensional settings. 关键词：Block diagonal high dimension minimum covariance determinant estimator

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Outlier Detection via a Block Diagonal Product Estimator

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