CerioliOutlierDetection

R package to detect multivariate outliers using robust Mahalanobis distances and the methodology of Cerioli (2010).

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Welcome to GitHub Pages.

This is the GitHub repository for the R package "CerioliOutlierDectection" written by Christopher G. Green (@christopherggreen). This package provides the iterated RMCD method of Cerioli (2010) for multivariate outlier detection via robust Mahalanobis distances. It also provides the finite-sample RMCD method discussed in the paper, as well as the methods provided in Hardin and Rocke (2005) and Green and Martin (2014).

The "official" version of this package is available on CRAN: CerioliOutlierDetection. This GitHub repository hosts more current revisions (not yet incorporated into the official package).

References

Andrea Cerioli. Multivariate outlier detection with high-breakdown estimators. Journal of the American Statistical Association, 105(489):147-156, 2010.

C. G. Green and R. Douglas Martin. An extension of a method of Hardin and Rocke, with an application to multivariate outlier detection via the IRMCD method of Cerioli. Working Paper, 2014. Available from here.

J. Hardin and D. M. Rocke. The distribution of robust distances. Journal of Computational and Graphical Statistics, 14:928-946, 2005.