Related papers: Collective anomaly detection in High-dimensional V…
Fine-grained time series data are crucial for accurate and timely online change detection. While both collective anomalies and change points can coexist in such data, their joint online detection has received limited attention. In this…
Modern artificial intelligence has revolutionized our ability to extract rich and versatile data representations across scientific disciplines. Yet, the statistical properties of these representations remain poorly controlled, causing…
Choice models, which capture popular preferences over objects of interest, play a key role in making decisions whose eventual outcome is impacted by human choice behavior. In most scenarios, the choice model, which can effectively be viewed…
Sparse representation has been applied successfully in abnormal event detection, in which the baseline is to learn a dictionary accompanied by sparse codes. While much emphasis is put on discriminative dictionary construction, there are no…
Motivated by Tucker tensor decomposition, this paper imposes low-rank structures to the column and row spaces of coefficient matrices in a multivariate infinite-order vector autoregression (VAR), which leads to a supervised factor model…
In this work, we address the problem of identifying sparse continuous-time dynamical systems when the spacing between successive samples (the sampling period) is not constant over time. The proposed approach combines the…
High-dimensional vector autoregression with measurement error is frequently encountered in a large variety of scientific and business applications. In this article, we study statistical inference of the transition matrix under this model.…
Video anomaly detection (VAD) has been paid increasing attention due to its potential applications, its current dominant tasks focus on online detecting anomalies% at the frame level, which can be roughly interpreted as the binary or…
Vector autoregression (VAR) models are widely used to analyze the interrelationship between multiple variables over time. Estimation and inference for the transition matrices of VAR models are crucial for practitioners to make decisions in…
Event cameras are bio-inspired sensors that respond to per-pixel brightness changes in the form of asynchronous and sparse "events". Recently, pattern recognition algorithms, such as learning-based methods, have made significant progress…
This paper considers the problem of estimating linear dynamic system models when the observations are corrupted by random disturbances with nonstandard distributions. The paper is particularly motivated by applications where sensor…
Several anomaly detection and classification methods rely on large amounts of non-anomalous or "normal" samples under the assump- tion that anomalous data is typically harder to acquire. This hypothesis becomes questionable in Few-Shot…
We consider a Gaussian sequence space model $X_{\lambda}=f_{\lambda} + \xi_{\lambda},$ where $\xi $ has a diagonal covariance matrix $\Sigma=\diag(\sigma_\lambda ^2)$. We consider the situation where the parameter vector $(f_{\lambda})$ is…
The problem of detecting change points in the parameters of a linear regression model with errors and covariates exhibiting heteroscedasticity is considered. Asymptotic results for weighted functionals of the cumulative sum (CUSUM)…
Demanding sparsity in estimated models has become a routine practice in statistics. In many situations, we wish to require that the sparsity patterns attained honor certain problem-specific constraints. Hierarchical sparse modeling (HSM)…
While anomaly detection in time series has been an active area of research for several years, most recent approaches employ an inadequate evaluation criterion leading to an inflated F1 score. We show that a rudimentary Random Guess method…
We develop a distribution-free, unsupervised anomaly detection method called ECAD, which wraps around any regression algorithm and sequentially detects anomalies. Rooted in conformal prediction, ECAD does not require data exchangeability…
Motivated by a condition monitoring application arising from subsea engineering we derive a novel, scalable approach to detecting anomalous mean structure in a subset of correlated multivariate time series. Given the need to analyse such…
We consider the estimation of the transition matrix in the high-dimensional time-varying vector autoregression (TV-VAR) models. Our model builds on a general class of locally stationary VAR processes that evolve smoothly in time. We propose…
Changepoints are a very common feature of Big Data that arrive in the form of a data stream. In this paper, we study high-dimensional time series in which, at certain time points, the mean structure changes in a sparse subset of the…