Patent ID: 7333923

Claim:
A probability density estimation device for an anomalous data detection system adapted to detect anomalous data, said probability density estimation device configured for a degree of outlier calculation device for sequentially calculating a degree of outlier of each data with a data sequence of real vector values as input, said probability density estimation device for, while sequentially reading said data sequence, estimating a probability distribution of generation of the data by using a finite mixture distribution of normal distributions with a weighting parameter, a mean parameter and a variance parameter, said probability density estimation device comprising: probability calculation means for calculating, based on a value of input data and values of a mean parameter and a variance parameter of each of a finite number of normal distribution densities, a probability of generation of the input data from each normal distribution; and parameter output means for updating and rewriting the stored parameter values while gradually forgetting past data, according to newly read data based on a probability obtained by the probability calculation means, values of a mean parameter and a variance parameter of each normal distribution and a weighting parameter of each normal distribution, and anomalous data, indicative of fraud, being identified when said probability of generation of the input data deviates from said stored parameter values.