Anomaly Detection in Multichannel Data Using Sparse Representation in RADWT Frames

Daniela De Canditiis and Italia De Feis
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Daniela De Canditiis: Istituto per le Applicazioni del Calcolo, CNR-Rome, 00185 Rome, Italy
Italia De Feis: Istituto per le Applicazioni del Calcolo, CNR-Naples, 80131 Naples, Italy

Mathematics, 2021, vol. 9, issue 11, 1-26

Abstract: We introduce a new methodology for anomaly detection (AD) in multichannel fast oscillating signals based on nonparametric penalized regression. Assuming the signals share similar shapes and characteristics, the estimation procedures are based on the use of the Rational-Dilation Wavelet Transform (RADWT), equipped with a tunable Q-factor able to provide sparse representations of functions with different oscillations persistence. Under the standard hypothesis of Gaussian additive noise, we model the signals by the RADWT and the anomalies as additive in each signal. Then we perform AD imposing a double penalty on the multiple regression model we obtained, promoting group sparsity both on the regression coefficients and on the anomalies. The first constraint preserves a common structure on the underlying signal components; the second one aims to identify the presence/absence of anomalies. Numerical experiments show the performance of the proposed method in different synthetic scenarios as well as in a real case.

Keywords: anomaly detection; RADWT; variable selection; multichannel; thresholding (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
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