Browsing by Author "Steyn, Matthys Lucas"

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    Extreme value-based novelty detection
    (Stellenbosch : Stellenbosch University, 2017-12) Steyn, Matthys Lucas; De Wet, Tertius; Stellenbosch University. Faculty of Economic and Management Sciences. Dept. of Statistics and Actuarial Science.
    ENGLISH SUMMARY : This dissertation investigates extreme value-based novelty detection. An in-depth review of the theoretical proofs and an analytical investigation of current novelty detection methods are given. It is concluded that the use of extreme value theory for novelty detection leads to superior results. The first part of this dissertation provides an overview of novelty detection and the various methods available to construct a novelty detection algorithm. Four broad approaches are discussed, with this dissertation focusing on probabilistic novelty detection. A summary of the applications of novelty detection and the properties of an efficient novelty detection algorithm are also provided. The theory of extremes plays a vital role in this work. Therefore, a comprehensive description of the main theorems and modelling approaches of extreme value theory is given. These results are used to construct various novelty detection algorithms based on extreme value theory. The first extreme value-based novelty detection algorithm is termed the Winner-Takes-All method. The model’s strong theoretical underpinning as well as its disadvantages are discussed. The second method reformulates extreme value theory in terms of extreme probability density. This definition is utilised to derive a closed-form expression of the probability distribution of a Gaussian probability density. It is shown that this distribution is in the minimum domain of attraction of the extremal Weibull distribution. Two other methods to perform novelty detection with extreme value theory are explored, namely the numerical approach and the approach based on modern extreme value theory. Both these methods approximate the distribution of the extreme probability density values under the assumption of a Gaussian mixture model. In turn, novelty detection can be performed in complex settings using extreme value theory. To demonstrate an application of the discussed methods a banknote authentication dataset is analysed. It is clearly shown that extreme value-based novelty detection methods are extremely efficient in detecting forged banknotes. This demonstrates the practicality of the different approaches. The concluding chapter compares the theoretical justification, predictive power and efficiency of the different approaches. Proposals for future research are also discussed.