[R] outlier threshold

Uwe Ligges
Fri, 25 Feb 2005 16:01:27 -0000

Melanie Vida wrote:

> For the analysis of financial data wih a large variance, what is the best
way to select an outlier threshold?
>
> Listed below, is there a best method to select an outlier threshold and how
does R calculate it?
>
> In R, how do you find the outlier threshold through an interquartile range?
> In R, how do you find the outlier threshold using the hist command?
> In R, how do you find the outlier threshold with Chebyshev Inequality?
> In R, how do you find the outlier threshold with Kmeans?
>
> Also, is there a better way to select an outlier threshold not listed
above?


This depends on your definition of an outlier and the model for your
data - there is no "best" method in general. The "robust"
folks have
quite a lot of theory and methods ...

Uwe Ligges


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