Collective Anomaly Detection in High-Dimensional Var Models

DOI10.5705/SS.202021.0181arXiv2105.07538OpenAlexW3161282858MaRDI QIDQ6069887FDOQ6069887

Hyeyoung Maeng, Paul Fearnhead, Idris A. Eckley

Publication date: 17 November 2023

Published in: STATISTICA SINICA (Search for Journal in Brave)

Abstract: There is increasing interest in detecting collective anomalies: potentially short periods of time where the features of data change before reverting back to normal behaviour. We propose a new method for detecting a collective anomaly in VAR models. Our focus is on situations where the change in the VAR coefficient matrix at an anomaly is sparse, i.e. a small number of entries of the VAR coefficient matrix change. To tackle this problem, we propose a test statistic for a local segment that is built on the lasso estimator of the change in model parameters. This enables us to detect a sparse change more efficiently and our lasso-based approach becomes especially advantageous when the anomalous interval is short. We show that the new procedure controls Type 1 error and has asymptotic power tending to one. The practicality of our approach is demonstrated through simulations and two data examples, involving New York taxi trip data and EEG data.

Full work available at URL: https://arxiv.org/abs/2105.07538

zbMATH Keywords

Lassohigh-dimensional time seriesvector autoregressive modelepidemic changecollective anomalysparse changes

Mathematics Subject Classification ID

Statistics (62-XX)

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