I tried to implement outlier detection for one dimension using inter quartile. For instance, a given variable cost or revenue or profit. but I'm missing outliers in other dimensions when running for one dimension.

How to detect outliers for multi dimensional data , like cost and revenue and profit at once.

Is there any efficient algorithm for this?

  • 1
    $\begingroup$ It depends on your purposes. You can take a look at Mahalanobis distance if your data is normal. $\endgroup$ – German Demidov Feb 23 '16 at 12:04
  • $\begingroup$ Unfortunately data isn't normally distributed $\endgroup$ – naveen marri Feb 23 '16 at 12:14
  • $\begingroup$ Then you can use combined p-values: en.wikipedia.org/wiki/Fisher%27s_method , but it will work only if you have independent coordinates. $\endgroup$ – German Demidov Feb 23 '16 at 12:23

If you are working on Python, you could try SVM One Class and Least Squares Anomaly Detection, both are unsupervised learning, so you train giving "examples" of inliers.


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