We propose novel modifications to an anomaly detection methodology based on multivariate signal reconstruction followed by residuals analysis. The reconstructions are made using Auto Associative Kernel Regression (AAKR), where the query observations are compared to historical observations called memory vectors, representing normal operation. When the data set with historical observations grows large, the naive approach where all observations are used as memory vectors will lead to unacceptable large computational loads, hence a reduced set of memory vectors should be intelligently selected. The residuals between the observed and the reconstructed signals are analysed using standard Sequential Probability Ratio Tests (SPRT), where appropriate alarms are raised based on the sequential behaviour of the residuals.
The modifications we introduce include: a novel cluster based method to select memory vectors to be considered by the AAKR, which gives an extensive reduction in computation time; a generalization of the distance measure, which makes it possible to distinguish between explanatory and response variables; and a regional credibility estimation used in the residuals analysis, to let the time used to identify if a sequence of query vectors represents an anomalous state or not, depend on the amount of data situated close to or surrounding the query vector.
We demonstrate how the anomaly detection method and the proposed modifications can be successfully applied for anomaly detection on a set of imbalanced benchmark data sets, as well as on recent data from a marine diesel engine in operation.
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