2020/05/18 by Paula Navarro-Esteban, Navarro-Esteban, P., Juan A. Cuesta‐Albertos +1
Computer Science · Decision Sciences · Mathematics · #(Primary) 62H15 #62L10 (Secondary) #Advanced Statistical Methods and Models #Advanced Statistical Process Monitoring #Anomaly Detection Techniques and Applications #FOS: Computer and information sciences #Methodology (stat.ME)
paper · pdf · doi:10.48550/arxiv.2005.08923
openalex publication_date 2020/05/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
There exist multiple methods to detect outliers in multivariate data in the literature, but most of them require to estimate the covariance matrix. The higher the dimension, the more complex the estimation of the matrix becoming impossible in high dimensions. In order to avoid estimating this matrix, we propose a novel random projections-based procedure to detect outliers in Gaussian multivariate data. It consists in projecting the data in several one-dimensional subspaces where an appropriate univariate outlier detection method, similar to Tukey's method but with a threshold depending on the initial dimension and the sample size, is applied. The required number of projections is determined using sequential analysis. Simulated and real datasets illustrate the performance of the proposed method.