Outlier detection in non-elliptical data by kernel MRCD
Outlier detection in non-elliptical data by kernel MRCD
Abstract The minimum regularized covariance determinant method (MRCD) is a robust estimator for multivariate location and scatter, which detects outliers by fitting a robust covariance matrix to the data. Its regularization ensures that the covariance matrix is well-conditioned in any dimension. The MRCD assumes that the non-outlying observations are roughly …