A unifying framework for detecting outliers and change points from non-stationary time series data

Kenji Yamanishi, Jun Ichi Takeuchi

Research output: Contribution to conferencePaperpeer-review

155 Citations (Scopus)

Abstract

We are concerned with the issues of outlier detection and change point detection from a data stream. In the area of data mining, there have been increased interest in these issues since the former is related to fraud detection, rare event discovery, etc., while the latter is related to event/trend change detection, activity monitoring, etc. Specifically, it is important to consider the situation where the data source is non-stationary, since the nature of data source may change over time in real applications. Although in most previous work outlier detection and change point detection have not been related explicitly, this paper presents a unifying framework for dealing with both of them on the basis of the theory of on-line learning of non-stationary time series. In this framework a probabilistic model of the data source is incrementally learned using an on-line discounting learning algorithm, which can track the changing data source adaptively by forgetting the effect of past data gradually. Then the score for any given data is calculated to measure its deviation from the learned model, with a higher score indicating a high possibility of being an outlier. Further change points in a data stream are detected by applying this scoring method into a time series of moving averaged losses for prediction using the learned model. Specifically we develop and efficient algorithms for on-line discounting learning of auto-regression models from time series data, and demonstrate the validity of our framework through simulation and experimental applications to stock market data analysis.

Original languageEnglish
Pages676-681
Number of pages6
DOIs
Publication statusPublished - 2002
Externally publishedYes
EventKDD - 2002 Proceedings of the Eight ACM SIGKDD International Conference on Knowledge Discovery and Data Mining - Edmonton, Alta, Canada
Duration: Jul 23 2002Jul 26 2002

Other

OtherKDD - 2002 Proceedings of the Eight ACM SIGKDD International Conference on Knowledge Discovery and Data Mining
Country/TerritoryCanada
CityEdmonton, Alta
Period7/23/027/26/02

All Science Journal Classification (ASJC) codes

  • Software
  • Information Systems

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