Nonparametric Anomaly Detection on Time Series of Graphs. Issue 3 (16th September 2021)

• Record Type: Journal Article
• Authors: Ofori-Boateng, Dorcas; Gel, Yulia R.; Cribben, Ivor
• Is Part Of: Journal of computational and graphical statistics. Volume 30:Issue 3(2021)
• Page Start: 756
• Page End: 767
• Publication Date: 2021-09-16
• Subjects: Change point -- Dynamic networks -- Multivariate time series -- Sieve bootstrap; Mathematical statistics -- Data processing -- Periodicals; Mathematical statistics -- Graphic methods -- Periodicals; 519.50285
• DOI: 10.1080/10618600.2020.1844214
• Languages: English
• ISSNs: 1061-8600

Abstract

Abstract: Identifying change points and/or anomalies in dynamic network structures has become increasingly popular across various domains, from neuroscience to telecommunication to finance. One particular objective of anomaly detection from a neuroscience perspective is the reconstruction of the dynamic manner of brain region interactions. However, most statistical methods for detecting anomalies have the following unrealistic limitation for brain studies and beyond: that is, network snapshots at different time points are assumed to be independent. To circumvent this limitation, we propose a distribution-free framework for anomaly detection in dynamic networks. First, we present each network snapshot of the data as a linear object and find its respective univariate characterization via local and global network topological summaries. Second, we adopt a change point detection method for (weakly) dependent time series based on efficient scores, and enhance the finite sample properties of change point method by approximating the asymptotic distribution of the test statistic using the sieve bootstrap. We apply our method to simulated and to real data, particularly, two functional magnetic resonance imaging (fMRI) datasets and the Enron communication graph. We find that our new method delivers impressively accurate and realistic results in terms of identifying locations of true change points compared to the results reported by competing approaches. The new method promises to offer a deeper insight into the large-scale characterizations and functional dynamics of the brain and, more generally, into the intrinsic structure of complex dynamic networks. Supplemental materials for this article are available online.