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Statistical outlier detection using direct density ratio estimation

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Abstract

We propose a new statistical approach to the problem of inlier-based outlier detection, i.e., finding outliers in the test set based on the training set consisting only of inliers. Our key idea is to use the ratio of training and test data densities as an outlier score. This approach is expected to have better performance even in high-dimensional problems since methods for directly estimating the density ratio without going through density estimation are available. Among various density ratio estimation methods, we employ the method called unconstrained least-squares importance fitting (uLSIF) since it is equipped with natural cross-validation procedures, allowing us to objectively optimize the value of tuning parameters such as the regularization parameter and the kernel width. Furthermore, uLSIF offers a closed-form solution as well as a closed-form formula for the leave-one-out error, so it is computationally very efficient and is scalable to massive datasets. Simulations with benchmark and real-world datasets illustrate the usefulness of the proposed approach.

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Author notes

  1. Hisashi Kashima

    Present address: Department of Mathematical Informatics, Graduate School of Information Science and Technology, The University of Tokyo, Tokyo, Japan

Authors and Affiliations

  1. IBM Research - Tokyo, Kanagawa, Japan

    Shohei Hido, Yuta Tsuboi & Hisashi Kashima

  2. Department of Systems Science, Graduate School of Informatics, Kyoto University, Kyoto, Japan

    Shohei Hido

  3. Department of Computer Science, Graduate School of Information Science and Engineering, Tokyo Institute of Technology, Tokyo, Japan

    Masashi Sugiyama

  4. PRESTO, Japan Science and Technology Agency, Kawaguchi, Japan

    Masashi Sugiyama

  5. Department of Computer Science and Mathematical Informatics, Graduate School of Information Science, Nagoya University, Nagoya, Japan

    Takafumi Kanamori

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  1. Shohei Hido
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  2. Yuta Tsuboi
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  4. Masashi Sugiyama
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  5. Takafumi Kanamori
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Correspondence to Shohei Hido.

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Hido, S., Tsuboi, Y., Kashima, H. et al. Statistical outlier detection using direct density ratio estimation. Knowl Inf Syst 26, 309–336 (2011). https://doi.org/10.1007/s10115-010-0283-2

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