Finding Regression Outliers With FastRCS

Abstract

The Residual Congruent Subset (RCS) is a new method for finding outliers in the linear regression setting. Like many other outlier detection procedures, RCS searches for a subset which minimizes a criterion. The difference is that the new criterion was designed to be insensitive to the outliers. RCS is supported by FastRCS, a fast regression and affine equivariant algorithm which we also detail. Both an extensive simulation study and two real data applications show that FastRCS performs better than its competitors.