Comparison of robust estimators for detecting outliers in multivariate datasets

Sharifah Sakinah, Syed Abd Mutalib and Siti Zanariah, Satari and Wan Nur Syahidah, Wan Yusoff (2021) Comparison of robust estimators for detecting outliers in multivariate datasets. In: Journal of Physics: Conference Series, Simposium Kebangsaan Sains Matematik ke-28 (SKSM28), 28-29 July 2021 , Kuantan, Pahang, Malaysia. pp. 1-10., 1988 (012095). ISSN 1742-6588 (print); 1742-6596 (online)

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Detecting outliers for multivariate data is difficult and does not work by visual inspection. Mahalanobis distance (MD) has been a classical method to detect outliers in multivariate data. However, classical mean and covariance matrix in MD suffer from masking and swamping effects. Masking effects happened when outliers are not identified and swamping effects happened when inliers are identified as outliers. Hence, robust estimators have been proposed to overcome these problems. In this study, the performance of a new robust estimator named Test on Covariance (TOC) is tested and compared with other robust estimators which are Fast Minimum Covariance Determinant (FMCD), Minimum Vector Variance (MVV), Covariance Matrix Equality (CME) and Index Set Equality (ISE). These five robust estimators' performance is being tested on five real multivariate datasets. Brain and weight, Hawkins-Bradu Kass, Stackloss, Bushfire and Milk datasets were used as these five real datasets are well-known in most outlier detection studies. Results show that TOC has proven to be able in detecting outliers, does not have a masking effect and has the same performance as other robust estimators in all datasets.

Item Type: Conference or Workshop Item (Lecture)
Additional Information: Indexed by Scopus
Uncontrolled Keywords: Classical methods; Mahalanobis distances; Minimum covariance determinant; Multivariate data; Multivariate data sets; Robust estimators; Vector variances; Visual inspection
Subjects: Q Science > Q Science (General)
Q Science > QA Mathematics
Faculty/Division: Institute of Postgraduate Studies
Center for Mathematical Science
Depositing User: Mr Muhamad Firdaus Janih@Jaini
Date Deposited: 07 Nov 2022 06:14
Last Modified: 07 Nov 2022 06:14
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