Outlier Detection

Motivation: Fraud Detection

http://i.imgur.com/ckkoAOp.gif

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Techniques: Fraud Detection
• Features
• Dissimilarity
• Groups and noise

http://i.stack.imgur.com/tRDGU.png

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Outlier Analysis
• “One person’s noise is another person’s
signal”
• Outliers: the objects considerably dissimilar
from the remainder of the data
– Examples: credit card fraud, Michael Jordon,
intrusions, etc
– Applications: credit card fraud detection,
telecom fraud detection, intrusion detection,
customer segmentation, medical analysis, etc

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Outliers and Noise
• Different from noise
– Noise is random error or variance in a
measured variable
• Outliers are interesting: an outlier violates
the mechanism that generates the normal
data
• Outlier detection vs. novelty detection
– Early stage may be regarded as outliers
– But later merged into the model
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Types of Outliers
• Three kinds: global, contextual and
collective outliers
– A data set may have multiple types of outlier
– One object may belong to more than one type of
outlier
• Global outlier (or point anomaly)
– An outlier object significantly deviates from the
rest of the data set
• challenge: find an appropriate measurement
of deviation
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Contextual Outliers
• An outlier object deviates significantly based on a
selected context
– Ex. Is 10C in Vancouver an outlier? (depending on summer
or winter?)
• Attributes of data objects should be divided into two
groups
– Contextual attributes: defines the context, e.g., time &
location
– Behavioral attributes: characteristics of the object, used in
outlier evaluation, e.g., temperature
• A generalization of local outliers—whose density
significantly deviates from its local area
• Challenge: how to define or formulate meaningful
context?
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Collective Outliers
• A subset of data objects collectively deviate
significantly from the whole data set, even if the
individual data objects may not be outliers
– Application example: intrusion detection when a
number of computers keep sending denial-of-
service packages to each other
• Detection of collective outliers
– Consider not only behavior of individual objects, but
also that of groups of objects
– Need to have the background knowledge on the
relationship among data objects, such as a distance
or similarity measure on objects

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Outlier Detection: Challenges
• Modeling normal objects and outliers properly
– Hard to enumerate all possible normal behaviors in
an application
– The border between normal and outlier objects is
often a gray area
• Application-specific outlier detection
– Choice of distance measure among objects and the
model of relationship among objects are often
application-dependent
– Example: clinic data: a small deviation could be an
outlier; while in marketing analysis, larger
fluctuations

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Outlier Detection: Challenges
• Handling noise in outlier detection
– Noise may distort the normal objects and blur the
distinction between normal objects and outliers
– Noise may help hide outliers and reduce the
effectiveness of outlier detection
• Understandability
– Understand why these are outliers: Justification of
the detection
– Specify the degree of an outlier: the unlikelihood of
the object being generated by a normal mechanism
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Outlier Detection Methods
• Whether user-labeled examples of outliers
can be obtained
– Supervised, semi-supervised, and unsupervised
methods
• Assumptions about normal data and outliers
– Statistical, proximity-based, and clustering-
based methods

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Supervised Methods
• Modeling outlier detection as a classification problem
– Samples examined by domain experts used for training &
testing
• Methods for Learning a classifier for outlier detection
effectively:
– Model normal objects & report those not matching the model
as outliers, or
– Model outliers and treat those not matching the model as
normal
• Challenges
– Imbalanced classes, i.e., outliers are rare: Boost the outlier
class and make up some artificial outliers
– Catch as many outliers as possible, i.e., recall is more
important than accuracy (i.e., not mislabeling normal objects
as outliers)
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Unsupervised Methods
• Assume the normal objects are somewhat
``clustered'‘ into multiple groups, each having some
distinct features
• An outlier is expected to be far away from any
groups of normal objects
• Weakness: Cannot detect collective outlier
effectively
– Normal objects may not share any strong patterns, but
the collective outliers may share high similarity in a
small area
• Many clustering methods can be adapted for
unsupervised methods
– Find clusters, then outliers: not belonging to any cluster
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Unsupervised Methods: Challenges
• In some intrusion or virus detection, normal
activities are diverse
– Unsupervised methods may have a high false
positive rate but still miss many real outliers.
– Supervised methods can be more effective, e.g.,
identify attacking some key resources
• Challenges
– Hard to distinguish noise from outliers
– Costly since first clustering: but far less outliers than
normal objects
• Newer methods: tackle outliers directly
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Semi-Supervised Methods
• In many applications, the number of labeled data is often
small
– Labels could be on outliers only, normal objects only, or both
• If some labeled normal objects are available
– Use the labeled examples and the proximate unlabeled
objects to train a model for normal objects
– Those not fitting the model of normal objects are detected as
outliers
• If only some labeled outliers are available, a small
number of labeled outliers many not cover the possible
outliers well
– To improve the quality of outlier detection, one can get help
from models for normal objects learned from unsupervised
methods

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Pros and Cons
• Effectiveness of statistical methods: highly
depends on whether the assumption of
statistical model holds in the real data
• There are rich alternatives to use various
statistical models
– Parametric vs. non-parametric

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Proximity-based Methods
• An object is an outlier if the nearest
neighbors of the object are far away, i.e.,
the proximity of the object is significantly
deviates from the proximity of most of the
other objects in the same data set

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Pros and Cons
• The effectiveness of proximity-based methods
highly relies on the proximity measure
• In some applications, proximity or distance
measures cannot be obtained easily
• Often have a difficulty in identifying a group of
outliers that stay close to each other
• Two major types of proximity-based outlier
detection methods
– Distance-based vs. density-based

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Clustering-based Methods
• Normal data belong to large and dense
clusters, whereas outliers belong to small or
sparse clusters, or do not belong to any
clusters

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Challenges
• Since there are many clustering methods,
there are many clustering-based outlier
detection methods as well
• Clustering is expensive: straightforward
adaption of a clustering method for outlier
detection can be costly and does not scale
up well for large data sets

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Statistical Outlier Analysis
• Assumption: the objects in a data set are
generated by a (stochastic) process (a
generative model)
• Learn a generative model fitting the given
data set, and then identify the objects in low
probability regions of the model as outliers
• two categories: parametric versus non-
parametric

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Example
• Statistical methods (also known as model-
based methods) assume that the normal
data follow some statistical model
– The data not following the model are outliers.

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Parametric Methods
• Assumption: the normal data is generated
by a parametric distribution with parameter
θ
• The probability density function of the
parametric distribution f(x | θ) gives the
probability that object x is generated by the
distribution
• The smaller this value, the more likely x is
an outlier
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Univariate Outliers Based on Normal
Distribution
n
X n
2 2 n n 2 1 X
ln L(µ, )= ln f (xi | (u, )) = ln(2⇡) ln 2
(xi µ)2
i=1
2 2 2 i=1

• Taking derivatives with respect to µ and σ2,

we derive the following maximum likelihood
estimates
Xn Xn
1 ˆ2 = 1
µ̂ = x̄ = xi (xi x̄)2
n i=1 n i=1

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Example
• Daily average temperature: {24.0, 28.9,
28.9, 29.0, 29.1, 29.1, 29.2, 29.2, 29.3,
29.4}
p
• Since n = 10, µ̂ = 28.61 ˆ = 2.29 = 1.51
• Then (24 – 28.61) /1.51 = – 3.04 < –3, 24 is
an outlier since µ ± 3σ contains 99.7% data

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The Grubb’s Test
• Maximum normed residual test
• For each object x in a data set, compute its
z-score v
u 2
N 1u t ↵
,N 2
– x is an outlier if z p t 2N

N N 2 + t2↵ ,N 2
2N

– t22N
↵
,N 2 is the value taken by a t-distribution at a
significance level of α/(2N), and N is the number
of objects in the data set

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Non-parametric Method
• Not assume an a-priori statistical model,
instead, determine the model from the input
data
– Not completely parameter free but consider the
number and nature of the parameters are
flexible and not fixed in advance
• Examples: histogram and kernel density
estimation

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Histogram
• A transaction in the amount of $7,500 is an
outlier, since only 0.2% transactions have
an amount higher than $5,000

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Challenges
• Hard to choose an appropriate bin size for
histogram
– Too small bin size → normal objects in empty/
rare bins, false positive
– Too big bin size → outliers in some frequent
bins, false negative

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To-Do List
• Read Chapters 12.1-12.3

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