Use of Hotelling's T^2: Outlier Diagnostics in Mixtures


  •  D. R. Jensen    
  •  D. E. Ramirez    

Abstract

Given Gaussian observation vectors $[\seqcl{\BY}{n}]$ having a common mean and dispersion matrix, a pervading issue is to identify shifted observations of type $\{\BYi\!\to\!\BYi\!+\!\bdeli\}.$ Conventional usage enjoins Hotelling's $\Tisq$ diagnostics, derived and applied under the mutual independence of $[\seqcl{\BY}{n}]$. Independence often fails, yet the need to identify outliers nonetheless persists. Accordingly, the present study reexamines $\Tisq$ under dependencies to include equicorrelations and more general matrices. Such dependencies are found in the analysis of calibrated vector measurements and elsewhere. In addition, mixtures of these distributions having star--shaped contours arise on occasion in practice. Nonetheless, the $\Tisq$ diagnostics are shown to remain exact in level and power for all such mixtures. Moreover, further matrix distributions, not necessarily having finite moments, are seen to generalize $n$--dimensional spherical symmetry to include non--Gaussian matrices of order $(n\!\times\!k)$ supporting $\Tisq.$ For these the use of $\Tisq$ remains exact in level. These findings serve to expand considerably the range of applicability of $\Tisq$ in practice, to include matrix Cauchy and other heavy tailed distributions intrinsic to econometric and other studies. Case studies serve to illuminate the methodology.


This work is licensed under a Creative Commons Attribution 4.0 License.
  • ISSN(Print): 1927-7032
  • ISSN(Online): 1927-7040
  • Started: 2012
  • Frequency: bimonthly

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