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Outlier detection using robust measures of scale

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Abstract:

Abstract The studentized absolute maximum deviation from the mean statistic is modified by replacing the sample standard deviation with a biweight estimator of σ 2. Simple approximate formulas for the 90 and 95th percentage points are found through the use of the Monte-Carlo technique. A comparison is made between the proposed procedure, the one using the sample standard deviation and the kurtosis measure (b2 ), as methods for detecting one or more outliers. For normal slippage alternatives the use of the proposed procedure seems better than using standard deviation and about the same as using b2 . For more general alternatives b2 seems to be far more conservative than the proposed method. In addition, the proposed procedure can be used in one stage to detect multiple outliers, with only slight loss of power, as compared to consecutive use. Keywords: BiweightNormalityOutlier DetectionRobustnessScale Estimators Additional informationNotes on contributorsJorge Martinez On leave from the National Univeristy of Colombia

Tópico:

Advanced Statistical Methods and Models

Citaciones:

Citations: 37
37

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Información de la Fuente:

SCImago Journal & Country Rank
FuenteJournal of Statistical Computation and Simulation
Cuartil año de publicaciónNo disponible
Volumen15
Issue4
Páginas285 - 293
pISSNNo disponible
ISSN0094-9655

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