Regression problem/detect outliers - MathOverflow

Regression problem/detect outliers

2009-11-25T14:56:21Z

I am doing a linear regression problem. It is a multivariate one and I do not know how to detect outliers because it is multivariate and the scatter graph will not help. Any suggestions?

Answer by kweinert for Regression problem/detect outliers

2009-11-25T15:45:48Z

You might use Cook's distance or Mahalanobis distance, for instance.

Answer by engelbrekt for Regression problem/detect outliers

2009-11-25T17:48:51Z

You might have a look at Robust Statistics in Wikipedia. There is a reference there to a quite recent book by Maronna et al.

A lot depends on how many outliers you have. If you have only one outlier, you can find it using $O(\log(n))$ regressions where $n$ is the number of cases, using the divide-and-conquer version of case removal (row deletion). Or even using $3$ regressions to obtain a robust fit by divide-and-conquer case removal, and then identify the outliers by comparing with the robust fit.

If you have more than one outlier, divide-and-conquer case removal becomes more complicated, and you might be better off looking at the book of Maronna et al; also there are recent papers by Hawkins and Olive that are very relevant. But then it becomes a question of availability of software: for divide-and-conquer case removal you just use the regression software you already have.

Answer by Ben for Regression problem/detect outliers

2009-11-25T22:08:16Z

RANSAC is an algorithm for fitting a model to data with outliers.

Randomly pick a subset of points
Fit the model to the subset
Count the number of points agreeing with the model (likelikhood > some threshold)
Repeat

Then choose the largest set of agreeing points and fit the model to that set.

Answer by pacificmoth for Regression problem/detect outliers

2010-01-12T09:45:28Z

To achieve the robust estimation, you could try the least square regression with L1 regularization that is also well-known LASSO algorithm. http://www-stat.stanford.edu/~tibs/lasso.html The relationship between robust estimation and lasso is explained in the following paper: http://www.cim.mcgill.ca/~xuhuan/papers/Lasso-NIPS.pdf

Answer by Matus Telgarsky for Regression problem/detect outliers

2010-01-12T10:22:50Z

If you are committed to linear regression, there are two choices--regularization, and changing the loss function (linear regression usually means least squares, which (without regularization) can be solved conveniently with a line of matrix manipulation in matlab).

As far as regularization goes, the two techniques which get lots of attention are ridge regression (l2-regularization) and lasso (l1-regularization). These days, l1-regularization gets more attention due to connections to sparsity and also its use in compressed sensing.

If you don't have many variables, i.e. model complexity isn't the problem and you just have some outliers really messing with the hyperplane, you can use a more insensitive loss function, for instance absolute loss or huber loss (huber loss is similar to absolute loss in terms of sensitivity to outliers, but is also differentiable).

Answer by Kelly French for Regression problem/detect outliers

2011-12-12T23:25:33Z

RANSAC can be used to find the best fit for data which includes outliers.

Below is what I did to solve a line fitting problem in robotic vision using RANSAC. Dr. Mariottini was the professor who taught us the approach and provided some templates for implementation. The credit goes to him and not me. The code is for MATLAB, and the reference to Z.mat is for a file containing the detected points along the wall to be followed which also contains outliers to be excluded.

%
%%
%% CSE 4392-5369 University of Texas at Arlington  
%% Dr. Gian Luca Mariottini
%%
%% 

% Robust line fitting (using RANSAC)
close all
clear all
clc

load Z.mat

X = Z;

figure(1)
axis equal
plot(X(1,:), X(2,:), 'r+')
hold on
len=length(X(1,:));
maxp=max(X(1,:));


%% RANSAC
t=1;
T=6;
N=100;
[m_r,q_r,inliers] = f_fitlinerobust(X',t,T,N);
plot([1 maxp],[m_r*1+q_r, m_r*maxp+q_r],'b');
plot(X(1,inliers), X(2,inliers),'gO');


% Wall parameters
theta=atan2(m_r,-1);
rho=q_r * sin(theta);
m=-cos(theta)/sin(theta);
q=rho/sin(theta);
x_w=[-2,20]';
y_w=m*x_w+q;
figure(2)
hold on
plot(x_w,y_w,'r')
axis equal

% Initial robot pose
x_r(1)=0.5;
y_r(1)=7;
phi_r(1)=0%pi/100;
Dt=0.1;
% Desired pose
delta_des=2;

i=1;
for t=0:150;

    figure(1)
    hold on
    plot(x_w,y_w,'r')
    axis equal
    % Measurement model
    delta(i) = x_r(i)*cos(theta)+y_r(i)*sin(theta)-rho;% + randn(1)*0.1;
    alpha(i) = theta - phi_r(i);%+randn(1)*0.01;

    % Plot reference frame
    w_R_r = rotoz(-(pi/2-phi_r(i)));
    w_t_r = [x_r(i); y_r(i);0];
    H=[w_R_r w_t_r;
       0 0 0   1];
    f_3Dframe(H,'b',2,'_{r}');

% Control
    err([1:2],i)=[delta(i)-delta_des; -alpha(i)+pi/2];
    lambda_1=0.3;
    lambda_2=0.3;
    L=[lambda_1 0;
        0 lambda_2];
    A=[1/cos(alpha(i)) 0;
        0              1];
    U_r([1:2],i) = -A*L*(err(:,i));

%% Velocities    
v_r(i) = U_r(1,i);
w_r(i) = U_r(2,i);

    % Actuate velocities
    x_r(i+1) = x_r(i) + v_r(i)*cos(phi_r(i));
    y_r(i+1) = y_r(i) + v_r(i)*sin(phi_r(i));
    phi_r(i+1) = phi_r(i) + w_r(i);

    i=i+1;
    pause(Dt)
    clf

    end

figure
plot(err(1,:))
title('Error distance')

%figure
%plot(err(2,:))
%title('Error angle')

figure
hold on
plot(v_r,'g')
plot(w_r,'r');
title('Translational/Angular velocities')

%%
%% CSE 4392-5369 University of Texas at Arlington  
%% Dr. Gian Luca Mariottini
%%
%% See the RANSAC alg. in the slides for the parameters U, t, T and N
function [m,q,inliers] = f_fitlinerobust(U,t,T,N);

% Create a list of possible combinations of the input points (2 at a time)
n=length(U(:,1));
inliers=[];
%indexes=nchoosek([1:n], 2); % all possible pair combinations 

max_length=0;
for i=1:N,
    display(['Iteration=',int2str(i)]);
    % (i) Sample minimum number of points
    ind1=randsample(n,1);
    x1=U(ind1,1);
    y1=U(ind1,2);
    ind2=randsample(n,1);
    x2=U(ind2,1);
    y2=U(ind2,2);
    % Fit a model to these points
    [m,q]=f_fitline([x1 x2; 
                     y1 y2]);
    % (ii) Compute the distance of each point to the model (m,q) and find S
    distances = abs( m*U(:,1)+q - U(:,2) );
    indS=find(distances < t); %index of the Consensus set= inliers
    if ~isempty(indS),
      % Take the current consensus index and see if it is > than maximum so far
      if length(indS)>max_length,
        max_ind = indS;
        max_length= length(indS);
      end;
      % (iii) size(S)>T
      if length(indS)>T,
         % Final estimate
         [m,q]=f_fitline(U(indS,:));
         inliers=max_ind;
         break;
      else
          if i==N,
             [m,q]=f_fitline(U(max_ind,:)); 
             inliers=max_ind;
          end
      end
      indS=[];
    end
end
if isempty(inliers),
    display('Inlier set is empty!');
end