Resistant outlier rules and the non-Gaussian case

Kenneth Carling ()
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Kenneth Carling: IFAU - Office of Labour Market Policy Evaluation, Postal: Labour Market Policy Evaluation, P O Box 513, SE-751 20 Uppsala, Sweden, http://www.ifau.se

No 2001:7, Working Paper Series from IFAU - Institute for Evaluation of Labour Market and Education Policy

Abstract: The techniques of exploratory data analysis include a resistant rule, based on a linear combination of quartiles, for identification of outliers. This paper shows that the substitution of the quartiles with the median leads to a better performance in the non-Gaussian case. The improvement occurs in terms of resistance and efficiency, and an outside rate that is less affected by the sample size. The paper also studies issues of practical importance in the spirit of robustness by considering moderately skewed and fat tail distributions obtatined as special cases of the Generalized Lambda Distribution.

Keywords: Asymptotic efficiency; Generalized Lambda Distribution; Kurtosis; Outside rate; Resistance; Skewness; Small-sample bias (search for similar items in EconPapers)
JEL-codes: C19 (search for similar items in EconPapers)
Pages: 14 pages
Date: 1998-09-01
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Published in Computational Statistics and Data Analysis, 2000, pages 249-258.

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