Outlier
From Wikipedia, the free encyclopedia
In statistics, an outlier is an observation that is numerically distant from the rest of the data. Statistics derived from data sets that include outliers may be misleading. For example, if one is calculating the average temperature of 10 objects in a room, and most are between 20 and 25 degrees Celsius, but an oven is at 350 °C, the median of the data may be 23 but the mean temperature will be 55. In this case, the median better reflects the temperature of a randomly sampled object than the mean. Outliers may be indicative of data points that belong to a different population than the rest of the sample set.
In most larger samplings of data, some data points will be further away from the sample mean than what is deemed reasonable. This can be due to incidental systematic error or flaws in the theory that generated an assumed family of probability distributions, or it can simply be the case that some observations happen to be a long way from the center of the data. Outlier points can therefore indicate faulty data, erroneous procedures, or areas where a certain theory might not be valid. However, a small number of outliers not due to any anomalous condition is to be expected in large samples.
Estimators not sensitive to outliers are said to be robust.
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[edit] Occurrence and causes
In the case of normally distributed data, roughly 1 in 22 observations will differ by twice the standard deviation or more from the mean, and 1 in 370 will deviate by three times the standard deviation. In a sample of 1000 observations, the presence of up to five observations deviating from the mean by more than three times the standard deviation is within the range of what can be expected and not indicative of an anomaly. If the sample size is only 100, however, just three such outliers are already reason for concern. In general, if the nature of the population distribution is known a priori, it is possible to test if the outliers deviate significantly from what can be expected.
Outliers can have many anomalous causes. A physical apparatus for taking measurements may have suffered a transient malfunction. There may have been an error in data transmission or transcription. A sample may have been contaminated with elements from outside the population being examined. Alternatively, an outlier could be the result of a flaw in the assumed theory, calling for further investigation by the researcher.
Unless it can be ascertained that the deviation is not significant, it is ill-advised to ignore the presence of outliers. Outliers that cannot be readily explained demand special attention.
[edit] Identifying outliers
There is no rigid mathematical definition of what constitutes an outlier; determining whether or not an observation is an outlier is ultimately a subjective exercise.
Some methods which are commonly used for identification assume that the data are from a normal distribution, and identify observations which are deemed "unlikely" based on mean and standard deviation:
Other methods flag observations based on measures such as the interquartile range. For example, if Q1 and Q3 are the lower and upper quartiles respectively, then one could define an outlier to be any observation outside the range:
![\big[ Q_1 - k (Q_3 - Q_1 ) , Q_3 + k (Q_3 - Q_1 ) \big]](../../../../math/c/e/2/ce20f2f8cd80187942c012f6c0995671.png)
for some constant k.
[edit] Working with outliers
The choice of how to deal with an outlier should depend on the cause.
[edit] Retaining
Even when a normal distribution model is appropriate to the data being analyzed, outliers are expected for large sample sizes and should not automatically be discarded if that is the case.
[edit] Exclusion
Deletion of outlier data is a controversial practice frowned on by many scientists and science instructors; while mathematical criteria provide an objective and quantitative method for data rejection, they do not make the practice more scientifically or methodologically sound, especially in small sets or where a normal distribution cannot be assumed. Rejection of outliers is more acceptable in areas of practice where the underlying model of the process being measured and the usual distribution of measurement error are confidently known.
In regression problems, an alternative approach may be to only exclude points which exhibit a large degree of influence on the parameters, using a measure such as Cook's distance.
[edit] Non-normal distributions
The possibility should be considered that the underlying distribution of the data is not approximately normal, having "fat tails". For instance, when sampling from a Cauchy distribution, the sample variance increases with the sample size, the sample mean fails to converge as the sample size increases, and outliers are expected at far larger rates than for a normal distribution.
[edit] Alternative models
In cases where the cause of the outliers is known, it may be possible to incorporate this effect into the model structure, for example by using a hierarchical Bayes model or a mixture model.
[edit] See also
[edit] External links
- Definition of outlier from MathWorld.
- [1] Grubbs test described by NIST manual
- Fahy, Tom (2006). Arcadia Financial: The Impact of Outliers on Absolute Returns in Trend Following Trading Systems. Retrieved on 2006-10-29.
- how to detect univariate outliers, how to detect multivariate outliers and how to deal with outliers
