Re:RAD – Outlier Detection on Big Data
by graycat on Thursday February 19, 2015 @07:30PM
(#9078183)
Consider:
"A Real-Time System-Adapted Anomaly
Detector", 'Information Sciences', volume
115, April, 1999, pages 221-259.
It's a distribution-free statistical
hypothesis test for multidimensional data.
False alarm rate can be adjusted in small
steps over a wide range and, then, is
achieved exactly.
It has nothing to do with any Gaussian
distribution (is distribution-free),
principal components analysis, singular
value decomposition, etc.
"A Real-Time System-Adapted Anomaly Detector", 'Information Sciences', volume 115, April, 1999, pages 221-259.
It's a distribution-free statistical hypothesis test for multidimensional data. False alarm rate can be adjusted in small steps over a wide range and, then, is achieved exactly.
It has nothing to do with any Gaussian distribution (is distribution-free), principal components analysis, singular value decomposition, etc.