Collective Anomaly Detection in High-Dimensional Var Models

DOI10.5705/SS.202021.0181MaRDI QIDQ6069887zbMATH OpenOpenAlexFDO

Authors Hyeyoung Maeng, Idris A. Eckley, Paul Fearnhead

Publication date 17 November 2023

Published in STATISTICA SINICA (Search for Journal in Brave)

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)

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.

Cites work

• scientific article; zbMATH DE number 795279 (Why is no real title available?)
• scientific article; zbMATH DE number 7306867 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• A likelihood ratio approach to sequential change point detection for a general class of parameters
• A note on reparameterizing a vector autoregressive moving average model to enforce stationarity
• Automatic Statistical Analysis of Bivariate Nonstationary Time Series
• Bayesian detection of abnormal segments in multiple time series
• Break detection in the covariance structure of multivariate time series models
• Change-point detection in panel data
• Change-point detection in panel data via double CUSUM statistic
• Change‐point monitoring in linear models
• Common breaks in means and variances for panel data
• Detecting big structural breaks in large factor models
• Detecting simultaneous change points in multiple sequences
• Detecting simultaneous variant intervals in aligned sequences
• Detection of changes in multivariate time series with application to EEG data
• Evaluating stationarity via change-point alternatives with applications to fMRI data
• Fresped: frequency-specific change-point detection in epileptic seizure multi-channel EEG data
• High dimensional change point estimation via sparse projection
• Inference for multiple change points in time series via likelihood ratio scan statistics
• Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models
• Low Rank and Structured Modeling of High-Dimensional Vector Autoregressions
• Monitoring changes in linear models
• Multiple Change Points Detection in Low Rank and Sparse High Dimensional Vector Autoregressive Models
• Multiple-Change-Point Detection for High Dimensional Time Series via Sparsified Binary Segmentation
• Narrowest-Over-Threshold Detection of Multiple Change Points and Change-Point-Like Features
• Page's sequential procedure for change-point detection in time series regression
• Real Time Anomaly Detection And Categorisation
• Regularized estimation and testing for high-dimensional multi-block vector-autoregressive models
• Regularized estimation in sparse high-dimensional time series models
• SLEX Analysis of Multivariate Nonstationary Time Series
• Simultaneous discovery of rare and common segment variants
• Simultaneous multiple change-point and factor analysis for high-dimensional time series
• Subset Multivariate Collective and Point Anomaly Detection
• Tests for change-points with epidemic alternatives
• The likelihood ratio test for a change-point in simple linear regression
• Uniform change point tests in high dimension
• Using the generalized likelihood ratio statistic for sequential detection of a change-point
• Wild binary segmentation for multiple change-point detection

This page was built for publication: Collective Anomaly Detection in High-Dimensional Var Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6069887)