Royal Bank of Canada
SYSTEM AND METHOD FOR MULTIVARIATE ANOMALY DETECTION

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.