Contextual Outlier Detection in Continuous-Time Event Sequences
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Continuous-time event sequences represent discrete events occurring in continuous time. Such sequences arise frequently in real-life and cover a wide variety of natural events, such as earthquakes, or events corresponding to human actions, such as medical administrations. Usually we expect the event sequences to follow some regular pattern over time. However, sometimes these regular patterns may be interrupted by unexpected absence or unexpected occurrences of events. Identification of these unexpected cases can be very important as they may point to abnormal situations that need human attention. In this work, we study and develop methods for detecting outliers in continuous-time event sequences, including unexpected absence and unexpected occurrences of events. Since the patterns that event sequences tend to follow may change in different contexts, we develop outlier detection methods based on point processes that take into account different contexts. Our outlier scoring methods are based on Bayesian decision theory and hypothesis testing with theoretical guarantees. To test the performance of the methods, we conduct experiments on both synthetic data and real-world clinical data and show the effectiveness of the proposed methods.
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