Typical Yet Unlikely: Using Information Theoretic Approaches to Identify Outliers which Lie Close to the Mean

11/01/2022
by   Matthew J. Vowels, et al.
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Normality, in the colloquial sense, has historically been considered an aspirational trait, synonymous with harmony and ideality. The arithmetic average has often been used to characterize normality, and is often used both productively and unproductively as a blunt way to characterize samples and outliers. A number of prior commentaries in the fields of psychology and social science have highlighted the need for caution when reducing complex phenomena to a single mean value. However, to the best of our knowledge, none have described and explained why the mean provides such a poor characterization of normality, particularly in the context of multi-dimensionality and outlier detection. We demonstrate that even for datasets with a relatively low number of dimensions (<10), data start to exhibit a number of peculiarities which become progressively severe as the number of dimensions increases. The availability of large, multi-dimensional datasets is increasing, and it is therefore especially important that researchers understand the peculiar characteristics of such data. We show that normality can be better characterized with `typicality', an information theoretic concept relating to the entropy of a distribution. An application of typicality to both synthetic and real-world data reveals that in multi-dimensional space, to be normal (or close to the mean) is actually to be highly atypical. This motivates us to update our working definition of an outlier, and we demonstrate typicality for outlier detection as a viable method which is consistent with this updated definition. In contrast, whilst the popular Mahalanobis based outlier detection method can be used to identify points far from the mean, it fails to identify those which are too close. Typicality can be used to achieve both, and performs well regardless of the dimensionality of the problem.

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