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Multivariate outlier detection based on a robust Mahalanobis distance with shrinkage estimators

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  • Cabana Garceran del Vall, Elisa
  • Laniado Rodas, Henry
  • Lillo Rodríguez, Rosa Elvira

Abstract

A collection of methods for multivariate outlier detection based on a robust Mahalanobis distance is proposed. The procedure consists on different combinations of robust estimates for location and covariance matrix based on shrinkage. The performance of our proposal is illustrated, through the comparison to other techniques from the literature, in a simulation study. The resulting high correct classification rates and low false classification rates in the vast majority of cases, and also the good computational times shows the goodness of our proposal. The performance is also illustrated with a real dataset example and some conclusions are established.

Suggested Citation

  • Cabana Garceran del Vall, Elisa & Laniado Rodas, Henry & Lillo Rodríguez, Rosa Elvira, 2017. "Multivariate outlier detection based on a robust Mahalanobis distance with shrinkage estimators," DES - Working Papers. Statistics and Econometrics. WS 24613, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:24613
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    References listed on IDEAS

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