Efficient Anomaly Detection via Matrix Sketching

NeurIPS 2018 Vatsal SharanParikshit GopalanUdi Wieder

We consider the problem of finding anomalies in high-dimensional data using popular PCA based anomaly scores. The naive algorithms for computing these scores explicitly compute the PCA of the covariance matrix which uses space quadratic in the dimensionality of the data... (read more)

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