On-line novelty detection using the Kalman filter and extreme value theory

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.

• Type: Conference
• Year: 2008
• Where: ICPR
• Authors: Hyoungjoo Lee, Stephen J. Roberts
• Keywords: Computer Vision, ICPR 2008, Regime Change Points, Sequential Time-series Data, Time-series Data