NOVELTY DETECTION WITH MULTIVARIATE EXTREME VALUE THEORY, PART I: A NUMERICAL APPROACH TO MULTIMODAL ESTIMATION
Extreme Value Theory (EVT) describes the distribution of data considered extreme with respect to some generative distribution, effectively modelling the tails of that distribution. In novelty detection, we wish to determine if data are "normal" with respect to some model of normality. If t...
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2009
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