Robust mixture models for anomaly detection

We propose robust density estimation in a low dimensional space for anomaly detection. The outline of the method is as follows: first a low dimensional representation of the original data is learnt. Then, a robust density mixture model is estimated in the learnt space. Finally, the likelihood of a data point given the model parameters is used to apply anomaly detection. An efficient way for adapting the model parameters when the data distribution is changing with time is proposed. We further show how to identify the actual parameters in the original feature space that accounts for the occurrence of the anomaly. We present experimental results that demonstrate the effectiveness of the proposed methods.