Identifying Multiple Outliers in Multivariate Data

Journal of the Royal Statistical Society: Series B (Statistical Methodology) · 1992 · Volume 54 · Issue 3

DOI: 10.1111/j.2517-6161.1992.tb01449.x

Abstract

We propose a procedure for the detection of multiple outliers in multivariate data. LetXbe ann × pdata matrix representingnobservations onpvariates. We first order thenobservations, using an appropriately chosen robust measure of outlyingness, then divide the data set into two initial subsets: A ‘basic’ subset which containsp +1 ‘good’ observations and a ‘non-basic’ subset which contains the remainingn - p- 1 observations. Second, we compute the relative distance from each point in the data set to the centre of the basic subset, relative to the (possibly singular) covariance matrix of the basic subset. Third, we rearrange thenobservations in ascending order accordingly, then divide the data set into two subsets: A basic subset which contains the firstp +2 observations and a non-basic subset which contains the remainingn - p -2 observations. This process is repeated until an appropriately chosen stopping criterion is met. The final non-basic subset of observations is declared an outlying subset. The procedure proposed is illustrated and compared with existing methods by using several data sets. The procedure is simple, computationally inexpensive, suitable for automation, computable with widely available software packages, effective in dealing with masking and swamping problems and, most importantly, successful in identifying multivariate outliers.

Keywords

leverage points, mahalanobis distance, masking, minimum volume ellipsoid, robust distance, swamping

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