Error rates for multivariate outlier detection

Multivariate outlier identification requires the choice of reliable cut-off points for the robust distances that measure the discrepancy from the fit provided by high-breakdown estimators of location and scatter. Multiplicity issues affect the identification of the appropriate cut-off points. It is described how careful choice of the error rate which is controlled during the outlier detection process can yield a good compromise between high power and low swamping, when alternatives to the Family Wise Error Rate are considered. Correspondingly, multivariate outlier detection rules based on the False Discovery Rate and the False Discovery Exceedance criteria are proposed. The properties of these rules are evaluated through simulation. The rules are then applied to real data examples. The conclusion is that the proposed approach provides a sensible strategy in many situations of practical interest. Key words: false discovery rate, false discovery exceedance, multiple outliers, rewe...

• Type: Journal
• Year: 2011
• Where: CSDA
• Authors: Andrea Cerioli, Alessio Farcomeni
• Keywords: Careful Choice, CSDA 2011, False Discovery Rate, Outlier Detection, Social Sciences