Multiresolution anomaly detection method for fractional Gaussian noise

Lingsong Zhang, Zhengyuan Zhu and J. S. Marron

Journal of Applied Statistics, 2014, vol. 41, issue 4, 769-784

Abstract: Driven by network intrusion detection, we propose a MultiResolution Anomaly Detection (MRAD) method, which effectively utilizes the multiscale properties of Internet features and network anomalies. In this paper, several theoretical properties of the MRAD method are explored. A major new result is the mathematical formulation of the notion that a two-scaled MRAD method has larger power than the average power of the detection method based on the given two scales. Test threshold is also developed. Comparisons between MRAD method and other classical outlier detectors in time series are reported as well.

Date: 2014
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DOI: 10.1080/02664763.2013.850065

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