compositions (version 2.0-4)

rMahalanobis: Compute distributions of empirical Mahalanobis distances based on simulations

Description

Decissions about outliers are often made based on Mahalanobis distances with respect to robustly estimated variances. These function deliver the necessary distributions.

Usage

rEmpiricalMahalanobis(n,N,d,...,sorted=FALSE,pow=1,robust=TRUE)
pEmpiricalMahalanobis(q,N,d,...,pow=1,replicates=100,resample=FALSE,
                        robust=TRUE)
qEmpiricalMahalanobis(p,N,d,...,pow=1,replicates=100,resample=FALSE,
                        robust=TRUE)
rMaxMahalanobis(n,N,d,...,pow=1,robust=TRUE)
pMaxMahalanobis(q,N,d,...,pow=1,replicates=998,resample=FALSE,
                        robust=TRUE)
qMaxMahalanobis(p,N,d,...,pow=1,replicates=998,resample=FALSE,
                        robust=TRUE)
rPortionMahalanobis(n,N,d,cut,...,pow=1,robust=TRUE)
pPortionMahalanobis(q,N,d,cut,...,replicates=1000,resample=FALSE,pow=1,
                        robust=TRUE)
qPortionMahalanobis(p,N,d,cut,...,replicates=1000,resample=FALSE,pow=1,
                        robust=TRUE)
pQuantileMahalanobis(q,N,d,p,...,replicates=1000,resample=FALSE,
                        ulimit=TRUE,pow=1,robust=TRUE)

Value

The r* functions deliver a vector (or a matrix of row-vectors) of simulated value of the given distributions. A total of n values (or row vectors) is returned.

The p* functions deliver a vector (of the same length as x) of probabilities for random variable of the given distribution to be under the given quantil values q.

The q* functions deliver a vector of quantiles corresponding to the length of the vector p providing the probabilities.

Arguments

n

Number of simulations to do.

q

A vector giving quantiles of the distribution

p

A vector giving probabilities. (only a single probility for pQuantileMahalanobis)

N

Number of cases in the dataset.

d

degrees of freedom (i.e. dimension) of the dataset.

cut

A cutting limit. The random variable is the portion of Mahalanobis distances lower equal to the cutting limit.

...

further arguments passed to MahalanobisDist

pow

the power of the Mahalanobis distance to be used. Higher powers can be used to stretch the outlierregion visually.

robust

logical or a robust method description (see robustnessInCompositions) specifiying how the center and covariance matrix are estimated,if not given.

sorted

Specifies a transformation to be applied to the whole sequence of Mahalanobis distances: FALSE is no transformation, TRUE sorts the entries in ascending order, a numeric vector picks the given entries from the entries sorted in ascending order; alternatively a function such as max can be given to directly transform the data.

replicates

the number of datasets in the Monte-Carlo-Computations used in these routines.

resample

a logical forcing a resampling of the Monte-Carlo-Sampling. See details.

ulimit

logical: is this an upper limit of a joint confidence bound or a lower limit.

Author

K.Gerald v.d. Boogaart http://www.stat.boogaart.de

Details

All the distribution correspond to the distribution under the Null-Hypothesis of multivariate joint Gaussian distribution of the dataset.

The set of empirically estimated Mahalanobis distances of a dataset is in the first step a random vector with exchangable but dependent entries. The distribution of this vector is given by the rEmpiricalMahalanobis if no sorted argument is given. Please be advised that this is not a fixed distribution in a mathematical sense, but an implementation dependent distribution incorporating the performance of underlying robust spread estimator. As long as no sorted argument is given pEmpiricalMahalanobis and qEmpiricalMahalanobis represent the distribution function and the quantile function of a randomly picked element of this vector.
If a sorted attribute is given, it specifies a transformation is applied to each of the vector prior to processing. Three important special cases are provided by seperate functions. The MaxMahalanobis functions correspond to picking only the larges value. The PortionMahalanobis functions correspond to reporting the portion of Mahalanobis distances over a cutoff. The QuantileMahalanobis distribution correponds to the distribution of the p-quantile of the dataset.
The Monte-Carlo-Simulations of these distributions are rather slow, since for each datum we need to simulate a whole dataset and to apply a robust covariance estimator to it, which typically itself involves Monte-Carlo-Algorithms. Therefore each type of simulations is only done the first time needed and stored for later use in the environment gsi.pStore. With the resampling argument a resampling of the cashed dataset can be forced.

See Also

dist, OutlierClassifier1

Examples

rEmpiricalMahalanobis(10,25,2,sorted=TRUE,pow=1,robust=TRUE)
pEmpiricalMahalanobis(qchisq(0.95,df=10),11,1,pow=2,replicates=1000)
(xx<-pMaxMahalanobis(qchisq(0.95,df=10),11,1,pow=2))
qEmpiricalMahalanobis(0.95,11,2)
rMaxMahalanobis(10,25,4)
qMaxMahalanobis(xx,11,1)