Abstract
We present a novel approach to online change detection problems when the training sample size is small. The proposed approach is based on estimating the expected information content of a new data point and allows an accurate control of the false positive rate even for small data sets. In the case of the Gaussian distribution, our approach is analytically tractable and closely related to classical statistical tests. We then propose an approximation scheme to extend our approach to the case of the mixture of Gaussians. We evaluate extensively our approach on synthetic data and on three real benchmark data sets. The experimental validation shows that our method maintains a good overall accuracy, but significantly improves the control over the false positive rate.
Original language | English (US) |
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Pages (from-to) | 805-814 |
Number of pages | 10 |
Journal | Pattern Recognition |
Volume | 43 |
Issue number | 3 |
DOIs | |
State | Published - Mar 2010 |
Keywords
- Density estimation
- Information theory
- Mixture of Gaussians
- Novelty detection
ASJC Scopus subject areas
- Software
- Signal Processing
- Computer Vision and Pattern Recognition
- Artificial Intelligence