Robust regression and outlier detection
Robust regression and outlier detection
Mersenne twister: a 623-dimensionally equidistributed uniform pseudo-random number generator
ACM Transactions on Modeling and Computer Simulation (TOMACS) - Special issue on uniform random number generation
Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
Journal of Multivariate Analysis
Computational Statistics & Data Analysis
Bioinformatics
Error rates for multivariate outlier detection
Computational Statistics & Data Analysis
Detection of multivariate outliers in business survey data with incomplete information
Advances in Data Analysis and Classification
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Multivariate outlier detection requires computation of robust distances to be compared with appropriate cut-off points. In this paper we propose a new calibration method for obtaining reliable cut-off points of distances derived from the MCD estimator of scatter. These cut-off points are based on a more accurate estimate of the extreme tail of the distribution of robust distances. We show that our procedure gives reliable tests of outlyingness in almost all situations of practical interest, provided that the sample size is not much smaller than 50. Therefore, it is a considerable improvement over all the available MCD procedures, which are unable to provide good control over the size of multiple outlier tests for the data structures considered in this paper.