Kernel Ellipsoidal Trimming

Ellipsoid estimation is an issue of primary importance in many practical areas such as control, system identification, visual/audio tracking, experimental design, data mining, robust statistics and novelty/outlier detection. This paper presents a new method of kernel information matrix ellipsoid estimation (KIMEE) that finds an ellipsoid in a kernel defined feature space based on a centered information matrix. Although the method is very general and can be applied to many of the aforementioned problems, the main focus in this paper is the problem of novelty or outlier detection associated with fault detection. A simple iterative algorithm based on Titterington's minimum volume ellipsoid method is proposed for practical implementation. The KIMEE method demonstrates very good performance on a set of real-life and simulated datasets compared with support vector machine methods

Kernel ellipsoidal trimming

Ellipsoid estimation is important in many practical areas such as control, system identification, visual/audio tracking, experimental design, data mining, robust statistics and statistical outlier or novelty detection. A new method, called kernel minimum volume covering ellipsoid (KMVCE) estimation, that finds an ellipsoid in a kernel-defined feature space is presented. Although the method is very general and can be applied to many of the aforementioned problems, the main focus is on the problem of statistical novelty/outlier detection. A simple iterative algorithm based on Mahalanobis-type distances in the kernel-defined feature space is proposed for practical implementation. The probability that a non-outlier is misidentified by our algorithms is analyzed using bounds based on Rademacher complexity. The KMVCE method performs very well on a set of real-life and simulated datasets, when compared with standard kernel-based novelty detection methods