Dimensionless Anomaly Detection on Multivariate Streams with Variance Norm and Path Signature

In this paper, we propose a dimensionless anomaly detection method for multivariate streams. Our method is independent of the unit of measurement for the different stream channels, therefore dimensionless. We first propose the variance norm, a generalisation of Mahalanobis distance to handle infinit...

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Bibliographische Detailangaben

Hauptverfasser:	Shao, Zhen, Chan, Ryan Sze-Yin, Cochrane, Thomas, Foster, Peter, Lyons, Terry
Format:	Artikel
Sprache:	eng
Schlagworte:	Computer Science - Learning Statistics - Machine Learning
Online-Zugang:	Volltext bestellen
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