modi (version 0.1.0)

GIMCD: Gaussian imputation followed by MCD

Description

Gaussian imputation uses the classical non-robust mean and covariance estimator and then imputes predictions under the multivariate normal model. Outliers may be created by this procedure. Then a high-breakdown robust estimate of the location and scatter with the Minimum Covariance Determinant algorithm is obtained and finally outliers are determined based on Mahalanobis distances based on the robust location and scatter.

Usage

GIMCD(data, alpha = 0.05, seedem = 23456789, seedmcd)

Value

Result is stored in a global list GIMCD.r:

center

robust center

scatter

robust covariance

alpha

quantile for cut-off value

computation.time

elapsed computation time

outind

logical vector of outlier indicators

dist

Mahalanobis distances

Arguments

data

a data frame or matrix with the data.

alpha

a threshold value for the cut-off for the outlier Mahalanobis distances.

seedem

random number generator seed for EM algorithm

seedmcd

random number generator seed for MCD algorithm, if seedmcd is missing, an internal seed will be used.

Author

Beat Hulliger

Details

Normal imputation from package norm and MCD from package MASS. Note that currently MCD does not accept weights.

References

Béguin, C. and Hulliger, B. (2008), The BACON-EEM Algorithm for Multivariate Outlier Detection, in Incomplete Survey Data, Survey Methodology, Vol. 34, No. 1, pp. 91-103.

See Also

cov.rob

Examples

data(bushfirem)
det.res <- GIMCD(bushfirem, alpha = 0.1)
print(det.res$center)
PlotMD(det.res$dist, ncol(bushfirem))