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Finding multivariate outliers with FastPCS. (English) Zbl 1471.62196

Summary: The Projection Congruent Subset (PCS) is a new method for finding multivariate outliers. Like many other outlier detection procedures, PCS searches for a subset which minimizes a criterion. The difference is that the new criterion was designed to be insensitive to the outliers. PCS is supported by FastPCS, a fast and affine equivariant algorithm which is also detailed. Both an extensive simulation study and a real data application from the field of engineering show that FastPCS performs better than its competitors.

MSC:

62-08 Computational methods for problems pertaining to statistics
62F35 Robustness and adaptive procedures (parametric inference)
62H12 Estimation in multivariate analysis
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References:

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