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Subspace rotations for high-dimensional outlier detection

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  • Chung, Hee Cheol
  • Ahn, Jeongyoun

Abstract

We propose a new two-stage procedure for detecting multiple outliers when the dimension of the data is much larger than the available sample size. In the first stage, the data are split into two disjoint sets, one containing non-outliers and the other containing the rest of the data that are considered as potential outliers. In the second stage, a series of hypothesis tests is conducted to test the abnormality of each potential outlier. A nonparametric test based on uniform random rotations is adopted for hypothesis testing. The power of the proposed test is studied under a high-dimensional asymptotic framework, and its finite-sample exactness is established under mild conditions. Numerical studies based on simulated examples and face recognition data suggest that the proposed approach is superior to the existing methods, especially in terms of false identification of non-outliers.

Suggested Citation

  • Chung, Hee Cheol & Ahn, Jeongyoun, 2021. "Subspace rotations for high-dimensional outlier detection," Journal of Multivariate Analysis, Elsevier, vol. 183(C).
    • Handle: RePEc:eee:jmvana:v:183:y:2021:i:c:s0047259x20302943
    DOI: 10.1016/j.jmva.2020.104713
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    References listed on IDEAS

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