
RAD – Outlier Detection on Big Data - trickz
http://techblog.netflix.com/2015/02/rad-outlier-detection-on-big-data.html
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graycat
Consider:

"A Real-Time System-Adapted Anomaly Detector", 'Information Sciences', volume
115, April, 1999, pages 221-259.

It's a distribution-free statistical hypothesis test for multidimensional
data. False alarm rate can be adjusted in small steps over a wide range and,
then, is achieved exactly.

It has nothing to do with any Gaussian distribution (is distribution-free),
principal components analysis, singular value decomposition, etc.

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beejiu
But it doesn't come with an open source implementation.

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graycat
How to implement it efficiently is an issue!

If you can figure it out, publish it!

Else when I get time, I will!

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cromwellian
There's also Symbolic Aggregate ApproXimation (SAX) techniques which are very
fast and support indexing algorithms.

