The BACON approach for rank-deficient data.

Athanassios Kondylis; Ali S. Hadi; Mark Werner

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The BACON approach for rank-deficient data.

Author(s)

Athanassios Kondylis Philip Morris International, ACR, Neuchatel, Switzerland

Ali S. Hadi Department of Mathematics and Actuarial Science, The American University in Cairo, Egypt. ; Department of Statistical Sciences, Cornell University, USA

Mark Werner Department of Statistics, University of Georgia, USA

Abstract

Rank-deficient data are not uncommon in practice. They result from highly collinear variables and/or high- dimensional data. A special case of the latter occurs when the number of recorded variables exceeds the number of observations. The use of the BACON algorithm for outlier detection in multivariate data is extended here to include rank-deficient data. We present two approaches to identifying outliers in rank- deficient data based on the original BACON algorithm. The first algorithm projects the data onto a robust subspace of reduced dimension, while the second employs a ridge type regularization on the covariance matrix. Both algorithms are tested on real as well as simulated data sets with good results in terms of their effectiveness in outlier detection. They are also examined in terms of computational efficiency and found to be very fast, with particularly good scaling properties for increasing dimension.

Publication Details

Page(s) 359-379

DOI DOI not available

Published Journal: Pakistan Journal of Statistics and Operation Research, Volume: 8, Issue: 3, Year: 2012

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