On-line novelty detection using the Kalman filter and extreme value theory
Hyoungjoo Lee, Stephen John Roberts · Proceedings - International Conference on Pattern Recognition/Proceedings/International Conference on Pattern Recognition · 2008
Novelty detection is concerned with identifying abnormal system behaviours and abrupt changes from one regime to another. This paper proposes an on-line (causal) novelty detection method capable of detecting both outliers and regime change points in sequential time-series data. Our approach is based on a Kalman filter in order to model time-series data and extreme value theory is used to compute a novelty measure in a principled manner. The proposed approach is shown to be effective via experiments on several real-world data sets.