Robust covariance estimation and explainable outlier detection for matrix-valued data

Abstract

This work introduces the Matrix Minimum Covariance Determinant (MMCD) method, a novel robust location and covariance estimation procedure designed for data that are naturally represented in the form of a matrix. Unlike standard robust multivariate estimators, which would only be applicable after a vectorization of the matrix-variate samples leading to high-dimensional datasets, the MMCD estimators account for the matrixvariate data structure and consistently estimate the mean matrix, as well as the rowwise and columnwise covariance matrices in the class of matrix-variate elliptical distributions. Additionally, we show that the MMCD estimators are matrix affine equivariant and achieve a higher breakdown point than the maximal achievable one by any multivariate, affine equivariant location/covariance estimator when applied to the vectorized data. An efficient algorithm with convergence guarantees is proposed and implemented. As a result, robust Mahalanobis distances based on MMCD estimators offer a reliable tool for outlier detection. Additionally, we extend the concept of Shapley values for outlier explanation to the matrix-variate setting, enabling the decomposition of the squared Mahalanobis distances into contributions of the rows, columns, or individual cells of matrix-valued observations. Notably, both the theoretical guarantees and simulations show that the MMCD estimators outperform robust estimators based on vectorized observations, offering better computational efficiency and improved robustness. Moreover, real-world data examples demonstrate the practical relevance of the MMCD estimators and the resulting robust Shapley values.