Statistical Anomaly Detection via Composite Hypothesis Testing for Markov Models

27 Feb 2017Jing ZhangIoannis Ch. Paschalidis

Under Markovian assumptions, we leverage a Central Limit Theorem (CLT) for the empirical measure in the test statistic of the composite hypothesis Hoeffding test so as to establish weak convergence results for the test statistic, and, thereby, derive a new estimator for the threshold needed by the test. We first show the advantages of our estimator over an existing estimator by conducting extensive numerical experiments... (read more)

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