System and method for multivariate anomaly detection
AssigneeRoyal Bank of Canada
InventorsVincent Chiu-Hua HUANG, Jingyi GAO, Jinda YANG, Kanika VIJ, William KURELEK
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Abstract
Disclosed are systems, methods, and devices for data anomaly detection. A signal reflective of an input data set having a plurality of dimensions is received. Co-variance across said plurality of dimensions is assessed. Upon said assessing, at least a portion of the input data set is transformed into a dimensionality-reduced data set. For each given data point in the dimensionality-reduced data set, an anomaly score informative of whether said given data point is an anomaly is calculated.
Claims20
A computer-implemented method for data anomaly detection, said method comprising:
- receiving a signal reflective of an input data set having a plurality of dimensions;
- assessing co-variance across said plurality of dimensions;
- upon said assessing, transforming at least a portion of said input data set into a dimensionality-reduced data set;
- and
- for each given data point in said dimensionality-reduced data set, calculating an anomaly score informative of whether said given data point is an anomaly.
A computer-implemented system for data anomaly detection, the system comprising:
- at least one processor;
- memory in communication with the at least one processor, and
- software code stored in the memory, which when executed by the at least one processor causes the system to:
- receive a signal reflective of an input data set having a plurality of dimensions;
- assess co-variance across said plurality of dimensions;
- upon said assessing, transform at least a portion of said input data set into a dimensionality-reduced data set;
- and
- for each given data point in said dimensionality-reduced data set, calculate an anomaly score informative of whether said given data point is an anomaly.
A non-transitory computer-readable medium or media having stored thereon machine interpretable instructions which, when executed by a processor, cause the processor to perform a computer implemented method of data anomaly detection, the method comprising:
- receiving a signal reflective of an input data set having a plurality of dimensions;
- assessing co-variance across said plurality of dimensions;
- upon said assessing, transforming at least a portion of said input data set into a dimensionality-reduced data set;
- and
- for each given data point in said dimensionality-reduced data set, calculating an anomaly score informative of whether said given data point is an anomaly.
Dependencies are inferred from the claim text.