2022/01/18 by Christian Bock, Bock, Christian, François-Xavier Aubet +9 · 1 citation
Computer Science · #Anomaly Detection Techniques and Applications #FOS: Computer and information sciences #Gaussian Processes and Bayesian Inference #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Time Series Analysis and Forecasting
paper · pdf · doi:10.48550/arxiv.2201.06763
openalex publication_date 2022/01/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We propose r-ssGPFA, an unsupervised online anomaly detection model for uni- and multivariate time series building on the efficient state space formulation of Gaussian processes. For high-dimensional time series, we propose an extension of Gaussian process factor analysis to identify the common latent processes of the time series, allowing us to detect anomalies efficiently in an interpretable manner. We gain explainability while speeding up computations by imposing an orthogonality constraint on the mapping from the latent to the observed. Our model's robustness is improved by using a simple heuristic to skip Kalman updates when encountering anomalous observations. We investigate the behaviour of our model on synthetic data and show on standard benchmark datasets that our method is competitive with state-of-the-art methods while being computationally cheaper.