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Multivariate Functional Outlier Detection using the FastMUOD Indices

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  • Ojo, Oluwasegun Taiwo
  • Fernández Anta, Antonio
  • Genton, Marc G.
  • Lillo Rodríguez, Rosa Elvira

Abstract

We present definitions and properties of the fast massive unsupervised outlier detection (FastMUOD) indices, used for outlier detection (OD) in functional data. FastMUOD detects outliers by computing, for each curve, an amplitude, magnitude and shape index meant to target the corresponding types of outliers. Some methods adapting FastMUOD to outlier detection in multivariate functional data are then proposed. These include applying FastMUOD on the components of the multivariate data and using random projections. Moreover, these techniques are tested on various simulated and real multivariate functional datasets. Compared with the state of the art in multivariate functional OD, the use of random projections showed the most effective results with similar, and in some cases improved, OD performance.

Suggested Citation

  • Ojo, Oluwasegun Taiwo & Fernández Anta, Antonio & Genton, Marc G. & Lillo Rodríguez, Rosa Elvira, 2022. "Multivariate Functional Outlier Detection using the FastMUOD Indices," DES - Working Papers. Statistics and Econometrics. WS 35665, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:35665
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    References listed on IDEAS

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    1. Kuhnt, Sonja & Rehage, André, 2016. "An angle-based multivariate functional pseudo-depth for shape outlier detection," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 325-340.
    2. Mia Hubert & Peter Rousseeuw & Pieter Segaert, 2015. "Multivariate functional outlier detection," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(2), pages 177-202, July.
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    5. Mia Hubert & Peter Rousseeuw & Pieter Segaert, 2015. "Rejoinder to ‘multivariate functional outlier detection’," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(2), pages 269-277, July.
    6. Dai, Wenlin & Genton, Marc G., 2019. "Directional outlyingness for multivariate functional data," Computational Statistics & Data Analysis, Elsevier, vol. 131(C), pages 50-65.
    7. López-Pintado, Sara & Romo, Juan, 2011. "A half-region depth for functional data," Computational Statistics & Data Analysis, Elsevier, vol. 55(4), pages 1679-1695, April.
    8. Dai, Wenlin & Mrkvička, Tomáš & Sun, Ying & Genton, Marc G., 2020. "Functional outlier detection and taxonomy by sequential transformations," Computational Statistics & Data Analysis, Elsevier, vol. 149(C).
    9. Clara Happ & Sonja Greven, 2018. "Multivariate Functional Principal Component Analysis for Data Observed on Different (Dimensional) Domains," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(522), pages 649-659, April.
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