PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Information Theoretic Novelty Detection
Maurizio Filippone and Guido Sanguinetti
Pattern Recognition Volume 43, Number 3, pp. 805-814, 2010.

Abstract

We present a novel approach to online change detection problems when the training sample size is small. The proposed approach is based on estimating the expected information content of a new data point and allows an accurate control of the false positive rate even for small data sets. In the case of the Gaussian distribution, our approach is analytically tractable and closely related to classical statistical tests. We then propose an approximation scheme to extend our approach to the case of the mixture of Gaussians. We evaluate extensively our approach on synthetic data and on three real benchmark data sets. The experimental validation shows that our method maintains a good overall accuracy, but significantly improves the control over the false positive rate.

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EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Computational, Information-Theoretic Learning with Statistics
ID Code:5519
Deposited By:Maurizio Filippone
Deposited On:14 January 2010