Universal outlying sequence detection for continuous observations

The following detection problem is studied, in which there are M sequences of samples out of which one outlier sequence needs to be detected. Each typical sequence contains n independent and identically distributed (i.i.d.) continuous observations from a known distribution π, and the outlier sequence contains n i.i.d. observations from an outlier distribution μ, which is distinct from n, but otherwise unknown. A universal test based on Kullback-Leibler (KL) divergence is built to approximate the maximum likelihood test, with known π and unknown μ. A KL divergence estimator based on data-dependent partitions is employed, and is shown to converge to its true value exponentially fast when the density ratio satisfies 0 < Kl ≤ dμ/dπ ≤ K2, where K1 and K2 are positive constants. The performance of such a KL divergence estimator further implies that the outlier detection test is exponentially consistent. The detection performance of the KL divergence based test is compared with that of a recently introduced test for this problem based on the machine learning approach of maximum mean discrepancy (MMD). Regimes in which the KL divergence based test is better than the MMD based test are identified.