Outlyingness: why do outliers lie out?

TL;DR

This paper introduces a fast method to identify which variables contribute most to an outlier's outlyingness, aiding scientific interpretation especially in high-dimensional data.

Contribution

It proposes a novel approach to detect variable contributions to outliers using sparse partial least squares regression, improving interpretability.

Findings

Method performs well on simulated data.

Effective in high-dimensional settings.

Helps understand why data points are flagged as outliers.

Abstract

Outlier detection is an inevitable step to most statistical data analyses. However, the mere detection of an outlying case does not always answer all scientific questions associated with that data point. Outlier detection techniques, classical and robust alike, will typically flag the entire case as outlying, or attribute a specific case weight to the entire case. In practice, particularly in high dimensional data, the outlier will most likely not be outlying along all of its variables, but just along a subset of them. If so, the scientific question why the case has been flagged as an outlier becomes of interest. In this article, a fast and efficient method is proposed to detect variables that contribute most to an outlier's outlyingness. Thereby, it helps the analyst understand why an outlier lies out. The approach pursued in this work is to estimate the univariate direction of maximal outlyingness. It is shown that the problem of estimating that direction can be rewritten as the normed solution of a classical least squares regression problem. Identifying the subset of variables contributing most to outlyingness, can thus be achieved by estimating the associated least squares problem in a sparse manner. From a practical perspective, sparse partial least squares (SPLS) regression, preferably by the fast sparse NIPALS (SNIPLS) algorithm, is suggested to tackle that problem. The proposed methodology is illustrated to perform well both on simulated data and real life examples.