Sign Method for Outlier Identification in High Dimensions - Sophisticated Version
Fast algorithm for identifying multivariate outliers in high-dimensional and/or large datasets, using spatial signs, see Filzmoser, Maronna, and Werner (CSDA, 2007). The computation of the distances is based on principal components.
sign2(x, makeplot = FALSE, explvar = 0.99, qcrit = 0.975, ...)
x |
a numeric matrix or data frame which provides the data for outlier detection |
makeplot |
a logical value indicating whether a diagnostic plot should be generated (default to FALSE) |
explvar |
a numeric value between 0 and 1 indicating how much variance should be covered by the robust PCs (default to 0.99) |
qcrit |
a numeric value between 0 and 1 indicating the quantile to be used as critical value for outlier detection (default to 0.975) |
... |
additional plot parameters, see help(par) |
Based on the robustly sphered and normed data, robust principal components are computed which are needed for determining distances for each observation. The distances are transformed to approach chi-square distribution, and a critical value is then used as outlier cutoff.
wfinal01 |
0/1 vector with final weights for each observation; weight 0 indicates potential multivariate outliers. |
x.dist |
numeric vector with distances used for outlier detection. |
const |
outlier cutoff value. |
Peter Filzmoser <P.Filzmoser@tuwien.ac.at> http://cstat.tuwien.ac.at/filz/
P. Filzmoser, R. Maronna, M. Werner. Outlier identification in high dimensions, Computational Statistics and Data Analysis, 52, 1694–1711, 2008.
N. Locantore, J. Marron, D. Simpson, N. Tripoli, J. Zhang, and K. Cohen. Robust principal components for functional data, Test 8, 1-73, 1999.
# geochemical data from northern Europe
data(bsstop)
x=bsstop[,5:14]
# identify multivariate outliers
x.out=sign2(x,makeplot=FALSE)
# visualize multivariate outliers in the map
op <- par(mfrow=c(1,2))
data(bss.background)
pbb(asp=1)
points(bsstop$XCOO,bsstop$YCOO,pch=16,col=x.out$wfinal01+2)
title("Outlier detection based on signout")
legend("topleft",legend=c("potential outliers","regular observations"),pch=16,col=c(2,3))
# compare with outlier detection based on MCD:
x.mcd <- robustbase::covMcd(x)
pbb(asp=1)
points(bsstop$XCOO,bsstop$YCOO,pch=16,col=x.mcd$mcd.wt+2)
title("Outlier detection based on MCD")
legend("topleft",legend=c("potential outliers","regular observations"),pch=16,col=c(2,3))
par(op)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.