Sparse representation of multivariate extremes with applications to anomaly detection

DOI10.1016/j.jmva.2017.06.010zbMath1373.62252arXiv1507.05899OpenAlexW2313882220MaRDI QIDQ2404407

Nicolas Goix, Anne Sabourin, Stéphan Clémençon

Publication date: 18 September 2017

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.05899

zbMATH Keywords

multivariate extremesdimensionality reductionanomaly detectionVC theory

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Statistics of extreme values; tail inference (62G32)

Related Items (10)

Sparse representation of multivariate extremes with applications to anomaly detection ⋮ \(k\)-means clustering of extremes ⋮ Tail inverse regression: dimension reduction for prediction of extremes ⋮ Extreme value theory for anomaly detection -- the GPD classifier ⋮ A geometric investigation into the tail dependence of vine copulas ⋮ Principal component analysis for multivariate extremes ⋮ Identifying groups of variables with the potential of being large simultaneously ⋮ A multivariate extreme value theory approach to anomaly clustering and visualization ⋮ Asymptotic independence and support detection techniques for heavy-tailed multivariate data ⋮ Sparse regular variation

Uses Software

• ismev
• LOF
• IsolationForest

Cites Work

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