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A FastAlgorithm
fortheMinimum
Covariance
Determinant
Estimator
Peter J. ROUSSEEUW
Katrien VANDRIESSEN
Departmentof Mathematics
and ComputerScience
Universitaire
InstellingAntwerpen
1
Universiteiteitsplein
B-2610 Wilrijk
Belgium
(peter.rousseeuw@uia.ua.ac.be)
Facultyof AppliedEconomics
Universitaire
Faculteiten
Sint Ignatius
Prinsstraat13
B-2000 Antwerp
Belgium
(katrien.
vandriessen@ufsia.ac. be)
Theminimum
covariance
determinant
ofRousseeuw
is a highly
robust
estimator
(MCD) method
of
multivariate
location
andscatter.
Itsobjective
is tofindh observations
(outofn) whosecovariance
matrix
has thelowestdeterminant.
Untilnow,applications
of theMCD werehampered
by the
timeof existing
whichwerelimited
to a fewhundred
computation
algorithms,
objectsin a few
dimensions.
Wediscusstwoimportant
oflarger
size,oneabouta production
applications
processat
anda dataset
fromastronomy
withn = 137,256
Philipswithn = 677 objectsandp = 9 variables,
To deal withsuchproblems
we havedeveloped
a newalgorithm
objectsandp = 27 variables.
fortheMCD, calledFAST-MCD.Thebasicideasarean inequality
orderstatistics
and
involving
andtechniques
whichwecall"selective
iteration"
and"nested
extensions."
determinants,
Forsmall
FAST-MCDtypically
findstheexactMCD, whereasforlargerdatasetsit givesmore
datasets,
accurate
resultsthanexisting
andis faster
FASTalgorithms
Moreover,
byordersof magnitude.
MCD is ableto detectan exactfit-thatis,a hyperplane
h or moreobservations.
The
containing
newalgorithm
makestheMCD method
availableas a routine
toolforanalyzing
multivariate
data.
Wealsoproposethedistance-distance
MCD-basedrobust
distances
plot(D-D plot),whichdisplays
versusMahalanobis
andillustrate
itwithsomeexamples.
distances,
KEY WORDS: Breakdown
location
andscatter;
Outlier
value;Multivariate
detection;
Regression;
Robustestimation.
It is difficult
to detectoutliersin p-variate
data when Positive-breakdown
methods
suchas theMVE andleast
2
>
because
one
trimmed
can
no
(Rousseeuw1984)areincreasp
squaresregression
longerrelyon visualinspection.Although
itis stillquiteeasyto detecta singleoutlier inglybeingusedinpractice-for
infinance,
chemexample,
electrical
andcomputer
thisapproachno istry,
engineering,
processcontrol,
distances,
by meansof theMahalanobis
andKim 1991).Fora surformultiple
outliers
becauseofthemasking vision(Meer,Mintz,Rosenfeld,
longersuffices
of
methods
and somesubstantive
vey
positive-breakdown
which
outliers
do notnecessarily
effect,
have
by
multiple
see
Rousseeuw
applications,
(1997).
largeMahalanobisdistances.It is betterto use distances
forapproximating
the
algorithm
basedonrobust
estimators
ofmultivariate
locationandscat- The basic resampling
called
was
MVE,
MINVOL,
proposedby Rousseeuwand
ter(Rousseeuw
andLeroy1987,pp.265-269).Inregression
This
considersa trialsubsetof
(1987).
Leroy
algorithm
robust
distances
fromtheexplanatory
analysis,
computed
1
observations
and
+
calculatesitsmeanandcovariance
variablesallowus to detectleveragepoints.Moreover,
ro- p
matrix.
The
or decorresponding
ellipsoidis theninflated
bustestimation
of multivariate
locationand scatteris the
flatedto containexactlyh observations.
This
is
procedure
othermultivariate
suchas
keytoolto robustify
techniques
times,andtheellipsoidwiththelowestvolrepeated
many
principal-component
analysisanddiscriminant
analysis. umeis retained.
Forsmalldatasets
itis possibletoconsider
forestimating
multivariate
locationand all subsetsofsizep+ 1,whereas
Manymethods
forlargerdatasets
thetrial
scatterbreakdownin thepresenceof n/(p+ 1) outliers, subsetsaredrawnat random.
wheren is thenumber
of observations
andp is thenum- Severalotheralgorithms
havebeenproposedto approxberofvariables,
as waspointed
outbyDonoho(1982).For imatetheMVE. Woodruff
and Rocke(1993) constructed
thebreakdown
valueof themultivariate
M-estimators
of algorithms
the
withthree
combining resampling
principle
Maronna(1976),see Hampel,Ronchetti,
and heuristic
searchtechniques-simulated
Rousseeuw,
annealing,
genetic
Stahel(1986,p. 296). In themeantime,
severalpositive- algorithms,
and tabusearch.Otherpeopledevelopedalbreakdown
estimators
of multivariate
to computetheMVE exactly.Thisworkstarted
locationand scatter gorithms
havebeenproposed.
with
the
One of theseis theminimum
ofCook,Hawkins,
andWeisberg
volume
algorithm
(1992),
method
of
Rousseeuw
ellipsoid(MVE)
(1984,p. 877; 1985).
Thisapproachlooksfortheellipsoidwithsmallest
volume
? 1999American
Statistical
Association
thatcoversh datapoints,wheren/2 < h < n. Its breakandtheAmerican
forQuality
Society
downvalueis essentially
(n - h)/n.
AUGUST1999,VOL.41, NO.3
TECHNOMETRICS,
212
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213
1. MOTIVATINGPROBLEMS
Two recentproblemswill be shownto illustratetheneed
fora fast,robustmethodthatcan deal withmanyobjects(n)
and/ormanyvariables(p) while maintaininga reasonable
statisticalefficiency.
200
Index
400
600
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214
L0
*
0
5)
.o
*.
**
:0
0 00
C
CuD
*.
Se
-.0 c,
go
's
*I
,*
.:,
.? *'
Or
-1.*
-.:.
-..
.0
.*.
Ve
00 to
-*
,
*.
*o
......
o
0
2000
4000
Index
6000
C])
tM(O -
..,
?6 %
C'se???
0
o
,
m
e ?
,.
.?
2000
4000
10000
8000
6000
of
:-
/(xi -T
(xe -)'ie
-T1)
(dli)2:n <
for i =
,...,n.
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All use subject to JSTOR Terms and Conditions
7r(2)...,
(h)}.
215
2_/
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216
TOLERANCEELLIPSE (97.5%)
(a)
c)
c
Lu
oo-
cu
CM
Xo
o.
CU
10
-5
10
X1
15
20
10
20
15
step number
25
30
(b)
CM
( 300 )
( 300 )
( 300 )
( 300 )
(1500 )
.(
n )
( 300 )
Figure 6. Nested System of Subsets Generated by the FAST-MCD
Algorithm.
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All use subject to JSTOR Terms and Conditions
217
[nsub(h/n)];
*
carryout two C-steps,usingnsuband hsub;
* keep the 10 best results(Tsub,
Ssub);
* pool the subsets,yieldingthemergedset (say,of size
nmerged = 1,500);
* in themergedset,repeatforeach of the 50 solutions
(Tsub, Ssub):
* in thefulldataset,repeatforthemfullbest results:
* take several
C-steps,usingn and h;
*
the
best
finalresult(Tfull,Sfull).
keep
Here,mfulland thenumberof C-steps(preferably,
until
convergence)dependon how largethedatasetis.
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218
6. To obtainconsistency
whenthedatacome froma multivariatenormaldistribution,
we put
TMCD=
Tfull
and
(i)
medid2
SMCD
(Tfull,Sfui)
Xp,.5
7. A one-stepreweightedestimateis obtainedby
Sfu
(0
0
*
~~~ ~ ~ ~~~S.
~~~ ~ ~ ~ ~ ~
S
cm
T1
(=l
WiXi
(
Wi
0
0
a_
0~~~~
0~~~~~
C -
S1 =
Wi(Xix
- Tl)
)/
(E Win
I i=l
where
where
wi
-4
- 1 if
d(TMcD,SMcD)(i)
<
= 0 otherwise.
-2
0
X1
Xp,.975
There
are
55
observations
in
the
entire
dataset
of
that lie
on the line with the equaThe programFAST-MCD has been thoroughlytested 100 observations
tion
and can be obtainedfromour Web site http://win-www.
.000000(xil - ml) + 1.000000(i2 - m2) = 0,
It has been incorporated
uia.ac.be/u/statis/index.html.
into where the mean (ml, m2) of these observations
is the
S-PLUS 4.5 (as the function"cov.mcd")and it is also in MCD location:
.10817
SAS/IML 7 (as thefunction"MCD").
5.00000
and their
5.
covariance
matrix
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All use subject to JSTOR Terms and Conditions
219
Starts
Heart
Phosphor
Stackloss
Coleman
Wood
Salinity
HBK
12
18
21
20
20
28
75
2
2
3
5
5
3
3
220
816
500
500
500
500
500
FAST-MCD
FSA
.6
1.8
2.1
4.2
4.3
2.4
5.0
.6
3.7
4.6
8.9
8.2
8.6
71.5
5 7 9 11
9 11 12 13 14 15 17
7 8 9 10 11 12 13 14 20
5 7 8 12 13 14 16 17 19 20
5 9 10 12 13 14 15 17 18 20
7 8 12 13 14 18 20 21 22 25 26 27 28
17 18 19 20 21 22 23 24 26 27 31 32
36 37 38 40 43 49 50 51 54 55 56 58
63 64 66 67 70 71 72 73 74
' >
t Hnew = H,'j
500
1,000
10,000
50,000
p
2
5
10
20
2
5
10
30
2
5
10
30
2
5
10
30
2
5
10
30
FSA
% Np(O, Ip)
% Np(1u,Ip)
Robust
Time
Robust
51
53
63
77
51
51
64
77
51
51
60
76
51
51
63
49
47
37
23
49
49
36
23
49
49
40
24
49
49
37
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
2
5
40
70
7
25
84
695
8
20
75
600
9
25
85
yes
no
no
no
no
no
no
no
no
76
51
24
49
yes
yes
700
15
58
75
42
25
yes
yes
140
890-
51
49
yes
Time
50
80
110
350
2,800
3,800
4,100
8,300
20,000
-
45
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All use subject to JSTOR Terms and Conditions
220
L
O=
EI
0
smolts
logmillion
DISTANCE-DISTANCE
PLOT
CD-
*21
a)
a,
co
11'
.0
o
0
a-
~~~~.1
*15
CM
..
.....
.....................................
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All use subject to JSTOR Terms and Conditions
theclassical tolerance
markingthemas outliers.In contrast,
contains
the
whole
dataset
and thusdoes not
nearly
ellipse
detecttheexistenceof faroutliers.
Let us now introducethe distance-distanceplot (D-D
plot),whichplotstherobustdistances(based on theMCD)
versusthe classical Mahalanobis distances.On both axes
in Figure8(b) we have indicatedthe cutoffvalue X2,.975
(herep = 2, yielding X 975= 2.72). If thedata werenot
contaminated(say, if all the data would come froma sinthenall pointsin theD-D
gle bivariatenormaldistribution),
would
near
line.
In this example many
lie
the
dotted
plot
lie
in
the
where
both
distancesare regupoints
rectangle
lie
lar, whereasthe outlyingpoints higher.This happened
because the MCD ellipse and the classical ellipse have a
different
orientation.
Naturally,the D-D plot becomes more usefulin higher
dimensions,whereit is not so easy to visualize thedataset
and theellipsoids.
221
Problem1 (continued). Next we considerProblem1 in ond group with RD(xi) between 8 and 16. By exchangSection 1. The Philips data represent677 measurements ing our findingswith the astronomersat the California
of metalsheetswithnine componentseach, and theMaha- Instituteof Technology,we learnedthatthe lower group
lanobisdistancesin Figure1 indicatedno groupsof outliers. consists mainlyof stars and the upper group mainlyof
The MCD-based robustdistancesRD(xi) in Figure9(a) tell galaxies.
Our main pointis thatthe robustdistancesseparatethe
a different
story.We now see a stronglydeviatinggroupof
data
in two partsand thusprovidemore information
than
outliers,rangingfromindex491 to index565.
(a)
(a)
*
L.)
S~
~~V*
'
U"
A~~~~~~~~~
~~~ ~ ~ ~~~~~~~~'
i5'()
.0
*?
3qr~~J..
0
'S.
*.~~~~~~~~~~~~~~~~
(0
0
U,
oC
*? 0
0.
:,.o 0%
*1
00
-0
r
0
O-
200
400
Index
600
2000
4000
6000
Index
10000
8000
(b)
(b)
0
Figure 9. Philips Data: (a) Plot of Robust Distances; (b) DistanceDistance Plot.
6
4
Mahalanobis
Distance
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222
8. CONCLUSIONS
theMahalanobis
distances.
Thatrobust
distances
andMahabehavedifferently
lanobisdistances
is illustrated
in Figure The algorithm
FAST-MCDproposedin thisarticleis
10(b),wherewe see thestarsnearthediagonallineandthe specifically
tailoredto theproperties
of theMCD estimagalaxiesaboveit.
tor.The basicideasaretheC-step(Theorem1 in Sec. 2),
Of courseouranalysisofthesedatawas muchmoreex- theprocedure
forgenerating
initialestimates
(Sec. 3.1),setensiveandalsousedotherdata-analytic
notde- lectiveiteration
techniques
(Sec. 3.2),andnestedextensions
(Sec. 3.3).
scribedhere,buttheabilityto computerobustestimates By exploiting
thespecialstructure
oftheproblem,
thenew
of locationand scatterforsuchlargedatasetswas a key algorithm
is faster
andmoreeffective
thangeneral-purpose
tool.Based on our work,theseastronomers
are thinkingtechniques
suchas reducing
theobjectivefunction
bysucaboutmodifying
theirclassification
ofobjectsintostarsand cessively
Simulations
have
shown
that
interchanging
points.
forthefaintlightsourcesthatarediffi- FAST-MCDis abletodealwithlargedatasets
galaxies,especially
whileoutruncultto classify.
forMVE andMCD byordersof
ningexisting
algorithms
Another
ofFAST-MCDis itsability
magnitude.
advantage
robust to detectexactfitsituations.
Example2. We end thissectionby combining
withrobustregression.
The firedata(Anlocation/scatter
Due to theFAST-MCDalgorithm,
theMCD becomes
drewsandHerzberg1985)reported
theincidences
of fires accessibleas a routine
toolforanalyzing
multivariate
data.
in47 residential
areasofChicago.Onewantstoexplainthe Without
extracostwe also obtaintheD-D plot,a newdata
incidence
offirebytheageofthehouses,theincomeofthe
displaythatplotstheMCD-basedrobustdistancesversus
families
oftheft.
Forthis theclassicalMahalanobis
livingin them,andtheincidence
distances.
Thisis a usefultoolto
we applytheleasttrimmed
squares(LTS) methodof ro- explorestructure(s)
in thedata.Otherpossibilities
include
bustregression,
withtheusualvalueof h = [(3/4)n]= 35. an MCD-basedPCA androbustified
versions
ofothermulIn S-PLUS 4.5, the function
"ltsreg"now automaticallytivariate
analysismethods.
calls thefunction
which
runstheFAST-MCD
"cov.mcd,"
to obtainrobustdistancesin x-spacebasedon
algorithm,
ACKNOWLEDGMENTS
theMCD withthesameh. Moreover,
S-PLUS automatiWe thankDoug Hawkinsand JoseAgulloformaking
callyprovidesthediagnostic
plotof Rousseeuwand van
availableto us. We also dedicatespecial
Zomeren(1990), whichplotstherobustresidualsversus theirprograms
therobustdistances.For thefiredata,thisyieldsFigure thanksto GertjanOtten,FransVanDommelen,
and Herman
Veraa
for
us
access
to
the
which
shows
data
andto
thepresenceof one vertical
11,
outlier-that
giving
Philips
witha smallrobustdistanceanda large S. C. Odewahnandhisresearch
Inis, an observation
groupattheCalifornia
of Technology
forallowingus to analyzetheirdigLTS residual.We also see twobad leveragepoints-that stitute
to therefereesand
x andsuchthat(x,y) itizedPalomardata.We are grateful
is, observations
(x,y) withoutlying
Technometrics
editors
Max
Morris
does not followthe lineartrendof the majority
and
KarenKafadarfor
of the
comments
thepresentation.
data.The otherobservations
withrobustdistancesto the helpful
improving
ofthevertical
cutoff
linearegoodleverage
right
pointsbecausetheyhavesmallLTS residualsandhencefollowthe
APPENDIX: PROOF OF THEOREM 1
samelinearpattern
as themaingroup.In Figure11 we see
Proof. Assumethatdet(S2) > 0; otherwise
theresult
thatmostof thesepointsare merelyboundary
cases,exis
satisfied.
We
can
thus
=
already
computed2(i) d(T2,s,)(i)
ceptforthetwoleveragepointsthatare reallyfaroutin
forall i = 1,..., n. Using IH21= h and the definition
of
x-space.
(T2,S2), we find
DIAGNOSTICPLOT
1
-ptr E (xi
d(i)
2
iEH2
T2)S21
(x
-T2)'
iCH2
= h tr E S2 (xi-T2)(xi
-a
u,
a)
iEH2
2.5
*
c)
-1 trSS2p
O
0
'O
La
CI
:
*
'a
*
S
05
c,
*?
A*-2.5
-2.5
,
(A.1)
Moreover,
put
* S
*
CM
.
- tr(I)= 1.
E
iEH2
, .
4
6
8
10
RobustDistancebased on theMCD
A:-p
d1(i)
2
l )i:n
(d
i=1
12
jEH1
2(j)
1,
(A.2)
whereA > 0 becauseotherwise
det(S2) = 0. Combining
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All use subject to JSTOR Terms and Conditions
hp
E d(TI'AS1)(i)
ZEH2
h rSll(xiE (XiiEH2
T1)
G (T2
bt
Griibel (1988) proved that (T2, S2) is the unique
minimizer of det(S)
for which
among all (T,S)
= 1. This implies that det(S2) <
(1/hp) ZiH2 d(TS)(i)
(A.3)
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