Robust Spectral Filtering and Anomaly Detection

3 Aug 2018Jakub MarecekTigran Tchrakian

We consider a setting, where the output of a linear dynamical system (LDS) is, with an unknown but fixed probability, replaced by noise. There, we present a robust method for the prediction of the outputs of the LDS and identification of the samples of noise, and prove guarantees on its statistical performance... (read more)

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