ICS for multivariate outlier detection with application to quality control
From MaRDI portal
Abstract: In high reliability standards fields such as automotive, avionics or aerospace, the detection of anomalies is crucial. An efficient methodology for automatically detecting multivariate outliers is introduced. It takes advantage of the remarkable properties of the Invariant Coordinate Selection (ICS) method. Based on the simultaneous spectral decomposition of two scatter matrices, ICS leads to an affine invariant coordinate system in which the Euclidian distance corresponds to a Mahalanobis Distance (MD) in the original coordinates. The limitations of MD are highlighted using theoretical arguments in a context where the dimension of the data is large. Unlike MD, ICS makes it possible to select relevant components which removes the limitations. Owing to the resulting dimension reduction, the method is expected to improve the power of outlier detection rules such as MD-based criteria. It also greatly simplifies outliers interpretation. The paper includes practical guidelines for using ICS in the context of a small proportion of outliers which is relevant in high reliability standards fields. The choice of scatter matrices together with the selection of relevant invariant components through parallel analysis and normality tests are addressed. The use of the regular covariance matrix and the so called matrix of fourth moments as the scatter pair is recommended. This choice combines the simplicity of implementation together with the possibility to derive theoretical results. A simulation study confirms the good properties of the proposal and compares it with other scatter pairs. This study also provides a comparison with Principal Component Analysis and MD. The performance of our proposal is also evaluated on several real data sets using a user-friendly R package accompanying the paper.
Recommendations
Cites work
- scientific article; zbMATH DE number 3954047 (Why is no real title available?)
- scientific article; zbMATH DE number 3986407 (Why is no real title available?)
- A cautionary note on robust covariance plug-in methods
- A comparison of various tests of normality
- A monitoring display of multivariate outliers
- A test of normality with high uniform power.
- Central limit theorem and influence function for the MCD estimators at general multivariate distributions
- Computation of multivariate normal and \(t\) probabilities
- Error rates for multivariate outlier detection
- How many principal components? Stopping rules for determining the number of non-trivial axes revisited
- Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
- Invariant co-ordinate selection (with discussion)
- Multivariate outlier detection with high-breakdown estimators
- On the number of principal components: a test of dimensionality based on measurements of similarity between matrices
- Outlier analysis
- Principal component analysis.
- Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination
- The use of a common location measure in the invariant coordinate selection and projection pursuit
Cited in
(10)- On-line anomaly detection with advanced independent component analysis of multi-variate residual signals from causal relation networks
- On the usage of joint diagonalization in multivariate statistics
- Independent component analysis: a statistical perspective
- Non-Gaussian component analysis: testing the dimension of the signal subspace
- Numerical Considerations and a new implementation for invariant coordinate selection
- Anomaly detection in scientific data using joint statistical moments
- Unsupervised outlier detection in quality control: an overview
- ICSShiny
- Some theoretical properties of two kurtosis matrices, with application to invariant coordinate selection
- Detecting outliers in compositional data using invariant coordinate selection
Describes a project that uses
Uses Software
This page was built for publication: ICS for multivariate outlier detection with application to quality control
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q151135)
