Anomaly Detection and Localisation using Mixed Graphical Models

Romain Laby (1, 2) , François Roueff (1) , Alexandre Gramfort (1)

1 LTCI - Laboratoire Traitement et Communication de l'Information
2 Thales Airborne Systems

We propose a method that performs anomaly detection and localisation within heterogeneous data using a pairwise undirected mixed graphical model. The data are a mixture of categorical and quantitative variables, and the model is learned over a dataset that is supposed not to contain any anomaly. We then use the model over temporal data, potentially a data stream, using a version of the two-sided CUSUM algorithm. The proposed decision statistic is based on a conditional likelihood ratio computed for each variable given the others. Our results show that this function allows to detect anomalies variable by variable, and thus to localise the variables involved in the anomalies more precisely than univariate methods based on simple marginals.

Keywords: anomaly detection; mixed graphical models; cusum

Domains: Machine Learning [stat.ML]

Romain Laby, François Roueff, Alexandre Gramfort. Anomaly Detection and Localisation using Mixed Graphical Models. ICML 2016 Anomaly Detection Workshop, Jun 2016, New York, United States. ⟨hal-01347167⟩