An object for detecting outliers in a Gaussian distributed dataset.
Read more in the :ref:`User Guide <outlier_detection>`.
Parameters ---------- store_precision : bool, default=True Specify if the estimated precision is stored.
assume_centered : bool, default=False If True, the support of robust location and covariance estimates is computed, and a covariance estimate is recomputed from it, without centering the data. Useful to work with data whose mean is significantly equal to zero but is not exactly zero. If False, the robust location and covariance are directly computed with the FastMCD algorithm without additional treatment.
support_fraction : float, default=None The proportion of points to be included in the support of the raw MCD estimate. If None, the minimum value of support_fraction will be used within the algorithm: `n_sample + n_features + 1
/ 2`. Range is (0, 1).
contamination : float, default=0.1 The amount of contamination of the data set, i.e. the proportion of outliers in the data set. Range is (0, 0.5).
random_state : int or RandomState instance, default=None Determines the pseudo random number generator for shuffling the data. Pass an int for reproducible results across multiple function calls. See :term: `Glossary <random_state>`.
Attributes ---------- location_ : ndarray of shape (n_features,) Estimated robust location
covariance_ : ndarray of shape (n_features, n_features) Estimated robust covariance matrix
precision_ : ndarray of shape (n_features, n_features) Estimated pseudo inverse matrix. (stored only if store_precision is True)
support_ : ndarray of shape (n_samples,) A mask of the observations that have been used to compute the robust estimates of location and shape.
offset_ : float Offset used to define the decision function from the raw scores. We have the relation: ``decision_function = score_samples - offset_``. The offset depends on the contamination parameter and is defined in such a way we obtain the expected number of outliers (samples with decision function < 0) in training.
.. versionadded:: 0.20
raw_location_ : ndarray of shape (n_features,) The raw robust estimated location before correction and re-weighting.
raw_covariance_ : ndarray of shape (n_features, n_features) The raw robust estimated covariance before correction and re-weighting.
raw_support_ : ndarray of shape (n_samples,) A mask of the observations that have been used to compute the raw robust estimates of location and shape, before correction and re-weighting.
dist_ : ndarray of shape (n_samples,) Mahalanobis distances of the training set (on which :meth:`fit` is called) observations.
Examples -------- >>> import numpy as np >>> from sklearn.covariance import EllipticEnvelope >>> true_cov = np.array([.8, .3],
... [.3, .4]
) >>> X = np.random.RandomState(0).multivariate_normal(mean=0, 0
, ... cov=true_cov, ... size=500) >>> cov = EllipticEnvelope(random_state=0).fit(X) >>> # predict returns 1 for an inlier and -1 for an outlier >>> cov.predict([0, 0],
... [3, 3]
) array( 1, -1
) >>> cov.covariance_ array([0.7411..., 0.2535...],
[0.2535..., 0.3053...]
) >>> cov.location_ array(0.0813... , 0.0427...
)
See Also -------- EmpiricalCovariance, MinCovDet
Notes ----- Outlier detection from covariance estimation may break or not perform well in high-dimensional settings. In particular, one will always take care to work with ``n_samples > n_features ** 2``.
References ---------- .. 1
Rousseeuw, P.J., Van Driessen, K. 'A fast algorithm for the minimum covariance determinant estimator' Technometrics 41(3), 212 (1999)