Shapley Values of Reconstruction Errors of PCA for Explaining Anomaly Detection

8 Sep 2019Naoya Takeishi

We present a method to compute the Shapley values of reconstruction errors of principal component analysis (PCA), which is particularly useful in explaining the results of anomaly detection based on PCA. Because features are usually correlated when PCA-based anomaly detection is applied, care must be taken in computing a value function for the Shapley values... (read more)

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