1 research outputs found
Information theoretic novelty detection
We present a novel approach to online change detection problems when the training sample size is small. The proposed approach is based on estimating the expected information content of a new data point and allows an accurate control of the false positive rate even for small data sets. In the case of the Gaussian distribution, our approach is analytically tractable and closely related
to classical statistical tests. We then propose an approximation scheme to extend our approach to the case of the mixture of Gaussians. We evaluate extensively our approach on synthetic data and on three real benchmark data
sets. The experimental validation shows that our method maintains a good overall accuracy, but significantly improves the control over the false positive rate