arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2005.08923stat.ME
收藏

基于随机投影的高维离群点检测

High-dimensional outlier detection using random projections

P. Navarro-Esteban, J. A. Cuesta-Albertos

摘要:

文献中存在多种检测多变量数据中异常值的方法,但大多数方法都需要估计协方差阵。维数越高,矩阵的估计越复杂,在高维中变得不可能。为了避免估计这个矩阵,我们提出了一种新的随机投影为基础的程序来检测高斯多元数据中的离群值。它包括在几个一维子空间中投影数据,其中应用了适当的单变量离群值检测方法,类似于Tukey的方法,但阈值取决于初始尺寸和样本量。所需的投影数是使用序贯分析确定的。模拟和真实数据集说明了所提出的方法的性能。

英文摘要:

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.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑