Robust Multivariate Outlier Labeling

Abstract

A criterion for robust estimation of location and covariance matrix is considered, and its application in outlier labeling is discussed. This method, unlike the methods based on MVE and MCD, is applicable to large and high-dimension data sets. The method proposed here is also robust and has the same breakdown point as the MVE- and MCD-based methods. Furthermore, the computational complexity of the proposed method is significantly smaller than that of other methods.

Keywords:

• Breakdown point
• Covariance matrix
• Location
• Outlier labeling
• Robust estimation
• Vector variance

Mathematics Subject Classification:

• 65C60

Acknowledgment

The authors thank the Directorate General of Higher Education (DGHE), Republic of Indonesia, under the Tenth Competitive Grant Project (Hibah Bersaing X) and University of Tarumanegara, Indonesia, for support of this research.