Testing For Typicality with Respect to an Ensemble of Learned Distributions
Authors: Forrest Laine, Claire Tomlin
Keywords: anomaly detection, density estimation, generative models
TL;DR: We show theoretically and empirically that testing for typicality with respect to an ensemble of learned distributions can account for learning error in the hypothesis testing. 
Abstract: Good methods of performing anomaly detection on high-dimensional data sets are
needed, since algorithms which are trained on data are only expected to perform
well on data that is similar to the training data. There are theoretical results on the
ability to detect if a population of data is likely to come from a known base distribution, 
which is known as the goodness-of-fit problem, but those results require
knowing a model of the base distribution. The ability to correctly reject anomalous
data hinges on the accuracy of the model of the base distribution. For high dimensional 
data, learning an accurate-enough model of the base distribution such that
anomaly detection works reliably is very challenging, as many researchers have
noted in recent years. Existing methods for the goodness-of-fit problem do not ac-
count for the fact that a model of the base distribution is learned. To address that
gap, we offer a theoretically motivated approach to account for the density learning 
procedure. In particular, we propose training an ensemble of density models,
considering data to be anomalous if the data is anomalous with respect to any
member of the ensemble. We provide a theoretical justification for this approach,
proving first that a test on typicality is a valid approach to the goodness-of-fit
problem, and then proving that for a correctly constructed ensemble of models,
the intersection of typical sets of the models lies in the interior of the typical set
of the base distribution. We present our method in the context of an example on
synthetic data in which the effects we consider can easily be seen.