Real Time Anomaly Detection And Categorisation

DOI10.48550/ARXIV.2009.06670zbMATH Open1490.62014OpenAlexW3086253642MaRDI QIDQ119893FDOQ119893

Authors Alexander T. M. Fisch, Lawrence Bardwell, Idris Eckley, Alexander T. M. Fisch, Lawrence Bardwell, Idris A. Eckley 

Publication date 14 September 2020

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.06670

zbMATH Keywords

anomaly detectionreal timeSCAPAstreaming data

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: The ability to quickly and accurately detect anomalous structure within data sequences is an inference challenge of growing importance. This work extends recently proposed post-hoc (offline) anomaly detection methodology to the sequential setting. The resultant procedure is capable of real-time analysis and categorisation between baseline and two forms of anomalous structure: point and collective anomalies. Various theoretical properties of the procedure are derived. These, together with an extensive simulation study, highlight that the average run length to false alarm and the average detection delay of the proposed online algorithm are very close to that of the offline version. Experiments on simulated and real data are provided to demonstrate the benefits of the proposed method.

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Cited in

(8)

• Online anomaly detection of profiles with varying coefficients via functional mixed effects modelling
• Anomaly detection of mobile positioning data with applications to COVID-19 situational awareness
• Bayesian root cause analysis by separable likelihoods
• Unsupervised streaming anomaly detection for instrumented infrastructure
• Inductive conformal anomaly detection for sequential detection of anomalous sub-trajectories
• Anomaly detection for online visiting traffic as a real-estate indicator: the case of homebuyer
• Iterative selection of categorical variables for log data anomaly detection
• Collective Anomaly Detection in High-Dimensional Var Models

Describes a project that uses

Uses Software

• robust
• mosum

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