Outlier Identification Via Non-parametric Expectile-order

Aragon, Yves, Chambers, Ray, Leconte, Eve and Poiraud-Casanova, Sandrine (2003) Outlier Identification Via Non-parametric Expectile-order (S3RI Methodology Working Papers, M03/12) Southampton, UK. Southampton Statistical Sciences Research Institute, University of Southampton 23pp.

Abstract

Non-parametric conditional expectiles can be used to characterise the relationship between a response variable and explanatory variables when the behaviour of “outlier” individuals is of interest. The aim of this paper is to demonstrate how an individual’s expectile-order, based on a non-parametric approximation to the expectile regression function, can be used as a measure of the extremity of that individual’s value relative to the values of other members of a dataset. In particular, we propose five estimators of this expectile-order which we compare via simulation. The use of expectile-order to characterise outliers or extreme values is then illustrated using a dataset of prescribing behaviour by physicians in the Midi-Pyrenees region of France during 1999. THIS DOCUMENT HAS BEEN SUPERSEDED BY M05/01.

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