马氏距离进行离群值检测

没找到非常好的中文的文章，看到一篇很好的使用python进行马氏距离离群值检测的文章，在此转载，里面的代码可以直接跑，效率也是挺高的。
核心代码为：

# Covariance matrix
covariance  = np.cov(indepvar[:,:-1] , rowvar=False)

# Covariance matrix power of -1
covariance_pm1 = np.linalg.matrix_power(covariance, -1)  #对协方差矩阵取逆

# Center point
centerpoint = np.mean(indepvar[:,:-1] , axis=0)

# Distances between center point and other points
distances = []
for i, val in enumerate(indepvar[:,:-1]):
    if i % 100000 == 0:
        print("已经处理到第{0}行.".format(i))
    p1 = val
    p2 = centerpoint
    distance = (p1-p2).T.dot(covariance_pm1).dot(p1-p2)
    distances.append(distance)
distances = np.array(distances)

# Cutoff (threshold) value from Chi-Sqaure Distribution for detecting outliers 
cutoff = chi2.ppf(0.95, indepvar[:,:-1].shape[1])

# Index of outliers
outlierIndexes = np.where(distances > cutoff )

print('--- Index of Outliers ----')
print("离群值共有{0}个数据点,占比为{1}%.".format(len(outlierIndexes[0]) , round(len(outlierIndexes[0]) / len(indepvar)*100 , 2) ))
print(outlierIndexes)
# array([24, 35, 67, 81])

print('--- Observations found as outlier -----')
print(indepvar[ distances > cutoff , :])

# 将上述的离群值删除
indepvar = indepvar[ distances <= cutoff , :]
len(indepvar)

原文内容：