Coding of non-stationary sources as a foundation for detecting change points and outliers in binary time-series

An interesting scheme for estimating and adapting distributions in real-time for non-stationary data has recently been the focus of study for several different tasks relating to time series and data mining, namely change point detection, outlier detection and online compression/sequence prediction. An appealing feature is that unlike more sophisticated procedures, it is as fast as the related stationary procedures which are simply modified through discounting or windowing. The discount scheme makes older observations lose their influence on new predictions. The authors of this article recently used a discount scheme for introducing an adaptive version of the Context Tree Weighting compression algorithm. The mentioned change point and outlier detection methods rely on the changing compression ratio of an online compression algorithm. Here we are beginning to provide theoretical foundations for the use of these adaptive estimation procedures that have already shown practical promise

Anomaly Detection on Graph Time Series

In this paper, we use variational recurrent neural network to investigate the anomaly detection problem on graph time series. The temporal correlation is modeled by the combination of recurrent neural network (RNN) and variational inference (VI), while the spatial information is captured by the graph convolutional network. In order to incorporate external factors, we use feature extractor to augment the transition of latent variables, which can learn the influence of external factors. With the target function as accumulative ELBO, it is easy to extend this model to on-line method. The experimental study on traffic flow data shows the detection capability of the proposed method

A taxonomy framework for unsupervised outlier detection techniques for multi-type data sets

The term "outlier" can generally be defined as an observation that is significantly different from the other values in a data set. The outliers may be instances of error or indicate events. The task of outlier detection aims at identifying such outliers in order to improve the analysis of data and further discover interesting and useful knowledge about unusual events within numerous applications domains. In this paper, we report on contemporary unsupervised outlier detection techniques for multiple types of data sets and provide a comprehensive taxonomy framework and two decision trees to select the most suitable technique based on data set. Furthermore, we highlight the advantages, disadvantages and performance issues of each class of outlier detection techniques under this taxonomy framework

Outlier Detection for Multivariate Time Series: A Functional Data Approach ®

Financiado para publicación en acceso aberto: Universidade da Coruña/CISUG[Abstract] A method for detecting outlier samples in a multivariate time series dataset is proposed. It is assumed that an outlying series is characterized by having been generated from a different process than those associated with the rest of the series. Each multivariate time series is described by means of an estimator of its quantile cross-spectral density, which is treated as a multivariate functional datum. Then an outlier score is assigned to each series by using functional depths. A broad simulation study shows that the proposed approach is superior to the alternatives suggested in the literature and demonstrates that the consideration of functional data constitutes a critical step. The procedure runs in linear time with respect to both the series length and the number of series, and in quadratic time with respect to the number of dimensions. Two applications concerning financial series and ECG signals highlight the usefulness of the technique.This research has been supported by the Ministerio de Economía y Competitividad (MINECO) grants MTM2017-82724-R and PID2020-113578RB-100, the Xunta de Galicia (Grupos de Referencia Competitiva ED431C-2020-14), and the Centro de Investigación del Sistema Universitario de Galicia “CITIC” grant ED431G 2019/01; all of them through the European Regional Development Fund (ERDF). This work has received funding for open access charge by Universidade da Coruña/CISUG .Xunta de Galicia; ED431C-2020-14Xunta de Galicia; ED431G 2019/0