Anomaly and Outlier Detection

Last updated Nov 14, 2024 Edit Source

Most of the outlier detection approaches belong to AI/Unsupervised learning/Unsupervised learning although it might be framed as a AI/Semi-supervised learning problem. In data mining, anomaly detection (also outlier detection) is the identification of rare items, events or observations which raise suspicions by differing significantly from the majority of the data. Typically the anomalous items will translate to some kind of problem such as bank fraud, a structural defect, medical problems or errors in a text. Anomalies are also referred to as outliers, novelties, noise, deviations and exceptions.

AI/Active learning

• https://towardsdatascience.com/density-based-algorithm-for-outlier-detection-8f278d2f7983
• https://towardsdatascience.com/a-brief-overview-of-outlier-detection-techniques-1e0b2c19e561
• Novelty and Outlier Detection
• Comparing anomaly detection algorithms for outlier detection on toy datasets
• #TALK Anomaly detection with TensorFlow (VAEs)
• Local outlier factor
• One-class SVM
  • https://docs.microsoft.com/en-us/azure/machine-learning/studio-module-reference/one-class-support-vector-machine
  • https://scikit-learn.org/stable/auto_examples/svm/plot_oneclass.html#sphx-glr-auto-examples-svm-plot-oneclass-py
  • Z-score
    • The z-score or standard score of an observation is a metric that indicates how many standard deviations a data point is from the sample’s mean, assuming a gaussian distribution. This makes z-score a parametric method.
    • Z-score is a simple, yet powerful method to get rid of outliers in data if you are dealing with parametric distributions in a low dimensional feature space. For nonparametric problems Dbscan and Isolation Forests can be good solutions.
• Dbscan
  • Density Based Spatial Clustering of Applications with Noise
  • Dbscan is a density based clustering algorithm, it is focused on finding neighbors by density (MinPts) on an ‘n-dimensional sphere’ with radius ɛ. A cluster can be defined as the maximal set of ‘density connected points’ in the feature space.
  • Dbscan then defines different classes of points: core, border and outlier points.

• Z-Score: The z-score method is a statistical technique that involves calculating the mean and standard deviation of the time series data. Outliers are identified as data points that fall beyond a certain threshold (typically, 3 standard deviations from the mean).
• Grubbs’ Test: Grubbs’ test is a statistical test that uses the maximum deviation from the mean to identify outliers. It involves calculating the test statistic (G-value) and comparing it with a critical value from a t-distribution. If the G-value is greater than the critical value, the data point is considered an outlier.
• Moving Median/MAD: Moving median/MAD (Median Absolute Deviation) is a non-parametric approach that involves calculating the median and absolute deviation of the data within a sliding window. If a data point deviates from the median by a certain threshold (typically, 3 times the MAD), it is considered an outlier.
• Exponential Smoothing: Exponential smoothing is a technique that involves smoothing the time series data by assigning weights to the data points. Outliers are detected by comparing the actual data with the smoothed data. Data points that deviate significantly from the smoothed data are considered outliers.
• ARIMA: ARIMA (Autoregressive Integrated Moving Average) is a time series modeling technique that can be used to detect outliers. The residuals from the ARIMA model can be analyzed to identify data points that deviate significantly from the expected values.
• Seasonal Hybrid ESD (S-H-ESD) method: This method is a seasonal extension of the ESD method (Extreme Studentized Deviate) and is used to detect anomalies in time series data that has a seasonal component. It works by identifying and removing seasonal trends in the data before applying the ESD method.
• Singular Spectrum Analysis (SSA) method: This method involves decomposing the time series into different components using singular value decomposition (SVD) and then identifying outliers in the resulting components
• ML techniques, such as Isolation Forest, Local Outlier Factor, and One-Class SVM. These methods are based on the idea that outliers are rare and different from the majority of the data points. Isolation Forest method uses a random forest approach to identify outliers in the time series data. It works by partitioning the data into subsets and then identifying subsets that are smaller than expected.

• #CODE Pyod - Comprehensive and scalable Python toolkit for detecting outlying objects in multivariate data
  • https://pyod.readthedocs.io/en/latest/
• #CODE Anomaly detection (Twitter, for R)
• #CODE Anomalib - DL library that aims to collect state-of-the-art anomaly detection algorithms for benchmarking on both public and private datasets
  • An anomaly detection library comprising state-of-the-art algorithms and features such as experiment management, hyper-parameter optimization, and edge inference
  • https://openvinotoolkit.github.io/anomalib/
• #CODE Orion - A machine learning library for detecting anomalies in signals
  • https://sintel.dev/Orion/
  • Orion is a machine learning library built for unsupervised time series anomaly detection

• #PAPER Isolation forest (Liu 2008)
  • #TALK Unsupervised Anomaly Detection with Isolation Forest - Pydata 2018
  • https://quantdare.com/isolation-forest-algorithm/
  • https://scikit-learn.org/stable/auto_examples/ensemble/plot_isolation_forest.html#sphx-glr-auto-examples-ensemble-plot-isolation-forest-py
  • https://towardsdatascience.com/outlier-detection-with-isolation-forest-3d190448d45e
  • Isolation forest’s basic principle is that outliers are few and far from the rest of the observations. To build a tree (training), the algorithm randomly picks a feature from the feature space and a random split value ranging between the maximums and minimums. This is made for all the observations in the training set. To build the forest a tree ensemble is made averaging all the trees in the forest.
  • Then for prediction, it compares an observation against that splitting value in a “node”, that node will have two node children on which another random comparisons will be made. The number of “splittings” made by the algorithm for an instance is named: “path length”. As expected, outliers will have shorter path lengths than the rest of the observations.
• #PAPER Modeling Extreme Events in Time Series Prediction (Ding 2019)
• #PAPER Bayesian Anomaly Detection and Classification (2019)

• AI/Deep learning/GANs
• #PAPER Learning Deep Features for One-Class Classification (Perera 2018)
• #PAPER Deep One-Class Classification (Ruff 2018)
• #PAPER Learning and Evaluating Representations for Deep One-Class Classification (Sohn 2021)
  • #CODE https://github.com/google-research/deep_representation_one_class
  • https://ai.googleblog.com/2021/09/discovering-anomalous-data-with-self.html
• #PAPER VOS: Learning What You Don’t Know by Virtual Outlier Synthesis (Du 2022)
  • #CODE https://github.com/deeplearning-wisc/vos
  • Paper explained
• #PAPER AnoShift: A Distribution Shift Benchmark for Unsupervised Anomaly Detection (Dragoi 2022)
  • #CODE https://github.com/bit-ml/anoshift
• #PAPER #REVIEW Deep learning for anomaly detection in multivariate time series: Approaches, applications, and challenges (Li 2023)