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SUMMARY We propose a procedure for the detection of multiple outliers in multivariate data. Let X be an n × p data matrix representing n observations on p variates. We first order the n observations, using an appropriately chosen robust measure of outlyingness, then divide the data set into two initial subsets: A ‘basic’ subset which contains p +1 ‘good’ observations and a ‘non‐basic’ subset which contains the remaining n ‐ p ‐ 1 observations. Second, we compute the relative distance from each point in the data set to the centre of the basic subset, relative to the (possibly singular) covariance matrix of the basic subset. Third, we rearrange the n observations in ascending order accordingly, then divide the data set into two subsets: A basic subset which contains the first p + 2 observations and a non‐basic subset which contains the remaining n ‐ p ‐ 2 observations. This process is repeated until an appropriately chosen stopping criterion is met. The final non‐basic subset of observations is declared an outlying subset. The procedure proposed is illustrated and compared with existing methods by using several data sets. The procedure is simple, computationally inexpensive, suitable for automation, computable with widely available software packages, effective in dealing with masking and swamping problems and, most importantly, successful in identifying multivariate outliers.

Library of Congress Catologing-in-Publication Data Castillo. Enrique. Expert systems and probabilistic network models I Enrique Castillo, Jose Manuel Gutierrez, Ali S. Hadi. p. cm.-(Monographs in computer science) Includes bibliographical references and index.

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SUMMARY We modify a method for identifying outliers in multivariate samples proposed by Hadi. A simulation study shows that this modification controls the size of the test, leads to substantially improved power and is more effective in dealing with the masking and swamping problems.

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