Online and Unsupervised Anomaly Detection for Streaming Data Using an Array of Sliding Windows and PDDs
In this article, we propose an online and unsupervised anomaly detection algorithm for streaming data using an array of sliding windows and the probability density based descriptors (PDDs) (based on these windows) This algorithm mainly consists of three steps: 1) we use a main sliding window over streaming data and segment this window into an array of nonoverlapping subwindows; 2) we propose the PDDs with dimension reduction, based on the kernel density estimation, to estimate the probability density of data in each subwindow; and 3) we design the distance based anomaly detection rule to determine whether the current observation is anomalous. The experimental results and performances are presented based on the Numenta anomaly benchmark. Compared with the anomaly detection algorithm using the hierarchical temporal memory proposed by Numenta (which outperforms a wide range of other anomaly detection algorithms) our algorithm can perform better in many cases, that is, with higher detection rates and earlier detection for contextual anomalies and concept drifts.
IEEE Transactions on Cybernetics