Theory of high-dimensional outliers

Abstract: This study concerns the issue of high dimensional outliers which are challenging to distinguish from inliers due to the special structure of high dimensional space. We introduce a new notion of high dimensional outliers that embraces various types and provides deep insights into understanding the behavior of these outliers based on several asymptotic regimes. Our study of geometrical properties of high dimensional outliers reveals an interesting transition phenomenon of outliers from near the surface of a high dimensional sphere to being distant from the sphere. Also, we study the PCA subspace consistency when data contain a limited number of outliers.