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On the robustness of the extreme deviate test for a single multivariate outlier against heavy-tailed distributions
Authors:Samuel L. Seaman  Dean M. Young  Danny W. Turner
Affiliation:1. Department of Information Systems , Baylor University , Box 8005, Waco, Texas, 76798;2. Department of Mathematics , Baylor University , Box 7328, Waco, Texas, 76798
Abstract:
In this paper we assess the sensitivity of the multivariate extreme deviate test for a single multivariate outlier to non-normality in the form of heavy tails. We find that the empirical significance levels can be markedly affected by even modest departures from multivariate normality. The effects are particularly severe when the sample size is large relative to the dimension. Finally, by way of example we demonstrate that certain graphical techniques may prove useful in identifying the source of rejection for the multivariate extreme deviate test.
Keywords:multivariate outlier  multivariate r-normed exponential distributions
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