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Title: Anomaly detection with kernel density estimation on manifolds Authors:  Fan Cheng - Monash University (Australia) [presenting]
Anastasios Panagiotelis - The University of Sydney (Australia)
Rob Hyndman - Monash University (Australia)
Abstract: Manifold learning can be used to obtain a low-dimensional representation of the underlying manifold given the high-dimensional data. However, kernel density estimates of the low-dimensional embedding with a fixed bandwidth fail to account for the way manifold learning algorithms distort the geometry of the underlying Riemannian manifold. We propose a novel kernel density estimator for any manifold learning embedding by introducing the estimated Riemannian metric of the manifold as the variable bandwidth matrix for each point. The geometric information of the manifold guarantees a more accurate density estimation of the true manifold, which subsequently could be used for anomaly detection. To compare our proposed estimator with a fixed-bandwidth kernel density estimator, we run two simulations with 2-D metadata mapped into a 3-D swiss roll or twin peaks shape and a 5-D semi-hypersphere mapped in a 100-D space, and demonstrate that the proposed estimator could improve the density estimates given a good manifold learning embedding and has higher rank correlations between the true and estimated manifold density. A shiny app in R is also developed for various simulation scenarios. The proposed method is applied to density estimation in statistical manifolds of electricity usage with the Irish smart meter data. This demonstrates our estimator's capability to fix the distortion of the manifold geometry and to be further used for anomaly detection in high-dimensional data.