Clinical Biochemistry 43 (2010) 10301033

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Clinical Biochemistry
j o u r n a l h o m e p a g e : w w w. e l s e v i e r. c o m / l o c a t e / c l i n b i o c h e m

Short Communication

A recursive version of Grubbs' test for detecting multiple outliers in environmental and chemical data
Ram B. Jain
Centers for Disease Control and Prevention, 4770 Buford Highway, Chamblee, GA 30341, USA

a r t i c l e

i n f o

a b s t r a c t
Objective: To compare the performance of Grubbs' outlier detection procedure with recursive Extreme Studentized Deviate (ESD) outlier detection procedure. Design and methods: Using simulated data, the powers of Grubbs and ESD procedures were evaluated. Results: Except when the sample contained exactly one outlier, the power of ESD procedure was higher than that of Grubbs' procedure. Conclusion: The ESD recursive procedure is the procedure of choice to detect multiple outliers in environmental and chemical data. 2010 The Canadian Society of Clinical Chemists. Published by Elsevier Inc. All rights reserved.

Article history: Received 16 January 2010 Received in revised form 18 March 2010 Accepted 27 April 2010 Available online 21 May 2010 Keywords: Outliers Extreme Studentized Deviate Statistic Simulation Grubbs

Introduction In any laboratory where data quality is important, certain quality control schemes are practiced. These schemes include discarding certain observations, called outliers, which are beyond certain standard deviations (SD) from their respective means [1]. These outliers must be detected and treated so that they will not have a disproportionate inuence on data analysis. Outliers are dened as the observations that do not t into the pattern of the remaining observations called inliers [2]. Many procedures to detect outliers have been proposed [3]. In a consecutive procedure like the one by Grubbs [4], only one observation at a time can be tested as an outlier. In the presence of multiple outliers, these procedures must be used repeatedly until no further outliers can be detected. In this case, the total Type I error may be much higher than the intended of 1% or 5%. This is of concern since chemical data do have multiple outliers [5]. Grubbs [4] procedure (GRBP) is widely accepted. Among several variations of Grubbs statistics, the statistics (N) = (X(N) X )/S and (1) = (X X(1))/S (whereX = mean of the sample, S = of the sample, X(N) = the largest observation in the sample, and X(1) = the smallest observation in the sample) are in use today and the tables of critical values are available [4]. Recently, critical values for sample sizes up to 30,000 have become available [6].

The ndings and conclusions in this report are those of the author[s] and do not necessarily represent the views of the Centers for Disease Control and Prevention. Fax: +1 770 488 0181. E-mail address: rij0@cdc.gov.

Recursive outlier detection procedures [7] were designed to eliminate some of the shortcomings associated with consecutive procedures. These procedures, even if used to detect the presence of KS suspected outliers, can detect the presence of any number of outliers, from zero to KS and can control Type I error to the intended level. Even though critical values for these procedures are available [3], there is a set of tables of critical values for each combination of N and KS. ESD procedure [7] (ESDP) is the recursive version of GRBP. If S(i) is an ordered sample containing observations X(1Si), , X(NSi) such that X(1Si) X(2Si) . . . X(N-1Si) X(NSi) in sample S(i), then to detect KS suspected outliers in the sample, statistics ESDi = max((X(NSi) MSi), (MSi X(1Si)))/SDSi, (X(NSi) = largest observation in sample S(i), X(1Si) = smallest observation in sample S(i), MSi = mean of the sample S(i), and SDSi = SD of sample S(i), i = 1, , KS). Or, ESDi is the extreme studentized deviate for sample S(i). The null hypothesis of no outliers is rejected if ESDi is greater than its critical value. The critical values of ESD for N = 20 to 100, for K = 2 to 5 are available [3,8]. However, ESDP does require an estimate of KS. The powers of consecutive as well as and recursive procedures are negatively affected by the masking and swamping effects when the actual number of outliers, KA is different than KS. The masking effect, dened as the inability to detect an outlier in the presence of another outlier, is present when KS b KA. The swamping effect, dened to detect inliers as outliers in addition to outliers, is present when KS N KA. Details about masking and swamping effects are presented as Supplemental Information (SI) S1. In this paper, I explain the algorithm used to compute sample statistics in the ESDP, develop a model to compute the critical values for ESDP, and compare the performance of ESDP with GRBP by conducting a simulation study.

0009-9120/$ see front matter 2010 The Canadian Society of Clinical Chemists. Published by Elsevier Inc. All rights reserved. doi:10.1016/j.clinbiochem.2010.04.071

R.B. Jain / Clinical Biochemistry 43 (2010) 10301033 Table 1 Intercepts and model coefcient to compute critical value for ESD statistics. Type I Error 0.05 ESD Estimated regression coefcients Statistics 1 2 ESD1 ESD2 ESD3 ESD4 ESD5 ESD1 ESD2 ESD3 ESD4 ESD5 2.36272 2.08321 2.12080 2.08897 2.26316 2.21006 2.31375 2.36188 2.27294 2.40764 0.02164 0.02360 0.01562 0.01364 0.00626 0.05135 0.02378 0.01382 0.01538 0.01020 0.00011202 0.00024696 0.00014331 0.00013213 0.00002207 0.00062151 0.00024152 0.00010112 0.00017094 0.00012227

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illustrating the computation is given in SI S2. The difference between the tabulated critical values provided elsewhere [3] and those computed here are given in SI S3.
4 0.05400 0.03929 0.02643 0.02143 0.00000 0.04271 0.03900 0.02143 0.02000 0.00000

3 0.000000E + 00 9.940952E-07 5.330823E-07 5.284038E-07 0.000000E + 00 2.680000E-06 9.337330E-07 2.566791E-07 7.268129E-07 6.338063E-07

Simulation study In the simulation study for ESD, KS for each sample was arbitrarily specied as 2 KS 5. I generated 500 random samples each of size 20, 30, 40, 50, and 100 from a normal distribution x N(0,1). Up to ve outliers were then introduced in each sample randomly with the lowest and/or the largest observations in the sample being increased or reduced by randomly determined value that varied between 1 SD and 3 SD. The number of outliers introduced in each sample was randomly determined with the restriction that no sample had more than 10% outliers. The total number of outliers on the lower and the upper ends of the sample were also randomly determined. The stepby-step details of the simulation algorithm are given in SI S4. Results

0.01

Materials and methods Critical values of the ESD recursive outlier detection procedure I tted non-linear regression models for ESDi as a function of N and KS, where N is the sample size of the original sample for = 0.01 and 0.05. Models for ESDi were: ESDi = + 1N + 2N2 + 3N3 + 4KS where N is the sample size. The estimated values of regression coefcients are given in Table 1. These models can be used to obtain critical values for N from 20 to 100 and 2 KS 5. An example

Simulation study When = 0.05 and KS = KA, the power or the percent probability of detecting the exact number of outliers varied from 83.6% to 99.8% for the ESDP and from 54% to 81% for GRBP (Fig. 1, Panel A).

Fig. 1. (A) Probability of detecting exact number of outliers for Grubbs' and ESD procedures when KS = KA. (B) Probability of detecting less than the exact number of outliers for Grubbs' and ESD procedures when KS = KA. (C) Probability of detecting exact number of outliers for Grubbs' and ESD procedures when KS b KA. (D) Probability of detecting less than the exact number of outliers for Grubbs' and ESD procedures when KS b KA. The probabilities for Grubbs' procedure are displayed in dotted lines. The probabilities for ESD procedure are displayed by solid line.

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The power of ESDP was as much as 38.6% higher than the power of GRBP. The probability of detecting less than the actual number of outliers was as high as 47.2% for GRBP (Fig. 1, Panel B). Thus, when there is exact knowledge of how many outliers are present in the sample, ESD is the procedure of choice. When KS b KA, the ESDP performed much better than GRBP. The power of ESDP was higher by as much as 42.2% than GRBP for N = 50, KA = 5, and KS = 2 (Fig. 1, Panel C). The probability of detecting more outliers than KA (Phigh) for GRBP was several-fold higher than for ESDP. For example for N = 40, KA = 4, and KS = 3, Phigh for GRBP was 44.6% and 4% for ESDP (Fig. 1, Panel D). Thus, ESDP was the procedure of choice. However, the closer the values of KS and KA were, the better was the power of ESDP. When KS N KA and when KA = 1, (Fig. 2, Panel A), the power of GRBP was higher by as much as 35% than ESDP. However, as the difference between KS and KA decreased and sample size increased, ESDP performed better and better and, actually it performed better than GRBP. For example, when N = 40, KA = 4, and KS = 5, the power of ESDP was 80% and the power of GRBP was 50.8% (Fig. 2, Panel B). While GRBP performed better than ESDP in quite a few cases, it was still quite sensitive to the masking effect (Fig. 2, Panels C and D) as the difference between KS and KA decreased and sample size increased. For example, for N = 30, KA = 3, and KS = 5, Phigh was 41% for RBP and 6.4% for ESDP (Fig. 2, Panel C). The choice of a better

procedure when KS N KA was difcult and depends upon the difference between KS and KA. In addition to Tukey's exploratory procedure, other procedures to estimate KA are available [9] but require use of expected values of normal order statistics which are easily available [10]. A statistic RDM that can be used to estimate the number of outliers [9] is briey discussed as SI S5.

Discussion Overall, ESDP works better than GRBP in all situations when KS KA. However, when KA = 1, GRBP may be better. While the ESDP performs satisfactorily when KS N KA, its performance may be degraded when the difference between KS and KA is large. The impact of this can be minimized by having a good estimate of KS. We found that Tukey's inner fences do not always work satisfactorily (data not shown). In my opinion, procedures for estimating (as compared to detecting) KS such as those given elsewhere [9] can provide better results. The issue of what to do with outliers once they have been detected is complicated. It probably will depend upon the source of outliers. A good discussion is given by Barnett and Lewis [3] in Chapter 2. Finally, an example that demonstrates computations of ESD is presented as SI S6.

Fig. 2. (A) Probability of detecting exact number of outliers for Grubbs and ESD procedures when 2 KS 5 and KA = 1. (B) Probability of detecting the exact number of outliers for Grubbs and ESD procedures when 4 KS 5 and 2 KA 4. (C) Probability of detecting less than the exact number of outliers for Grubbs' and ESD procedures when 4 KS 5 and 2 KA 4. (D) Probability of detecting less than the exact number of outliers for Grubbs and ESD procedures when 2 KS 5 and KA = 1. The probabilities for Grubbs' procedure are displayed in dotted lines. The probabilities for ESD procedure are displayed by solid line.

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Appendix A. Supplementary data Supplementary data associated with this article can be found, in the online version, at doi:10.1016/j.clinbiochem.2010.04.071.

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[4] Grubbs FE. Sample criteria for testing outlying observations. Annal Math Stat 1950;21:2758. [5] Zhang H, He P-J, Shao L-M. Flow analysis of heavy metals in MSW incinerators for investigating contamination of hazardous components. Environ Sci Technol 2008;42:62117. [6] Verma SP, Quiroz-Ruiz A. Critical values for 33 discordancy test variants for outliers in normal samples of very large sizes from 1, 000 to 30, 000 and evaluation of different regression models for the interpolation and extrapolation of critical values. Rev Mexican Ciencias Geol 2008;25:36981. [7] Rosner B. On the detection of many outliers. Technometrics 1975;17:2217. [8] Jain RB. Percentage points of many-outlier detection procedures. Technometrics 1981;23:715. [9] Jain RB, Pingel LA. A procedure for estimating number of outliers. Commun Stat Theory Methods 1981;A10:102941. [10] Harter HL. Expected values of normal order statistics. Biometrika 1961;48:15165.