Detecting anomalies in cross-classified streams: a Bayesian approach

• Authors: Deepak Agarwal
• Venue: Knowledge and Information Systems
• Year: 2006

We consider the problem of detecting anomalies in data that arise as multidimensional arrays with each dimension corresponding to the levels of a categorical variable. In typical data mining applications, the number of cells in such arrays are usually large. Our primary focus is detecting anomalies by comparing information at the current time to historical data. Naive approaches advocated in the process control literature do not work well in this scenario due to the multiple testing problem—performing multiple statistical tests on the same data produce excessive number of false positives. We use an empirical Bayes method which works by fitting a two-component Gaussian mixture to deviations at current time. The approach is scalable to problems that involve monitoring massive number of cells and fast enough to be potentially useful in many streaming scenarios. We show the superiority of the method relative to a naive “per component error rate” procedure through simulation. A novel feature of our technique is the ability to suppress deviations that are merely the consequence of sharp changes in the marginal distributions. This research was motivated by the need to extract critical application information and business intelligence from the daily logs that accompany large-scale spoken dialog systems. We illustrate our method on one such system.