Philipp Röchner

Philipp Röchner, Henrique O. Marques, Ricardo J. G. B. Campello et al.

Outlier detection algorithms typically assign an outlier score to each observation in a dataset, indicating the degree to which an observation is an outlier. However, these scores are often not comparable across algorithms and can be difficult for humans to interpret. Statistical scaling addresses this problem by transforming outlier scores into outlier probabilities without using ground-truth labels, thereby improving interpretability and comparability across algorithms. However, the quality of this transformation can be different for outliers and inliers. Missing outliers in scenarios where they are of particular interest - such as healthcare, finance, or engineering - can be costly or dangerous. Thus, ensuring good probabilities for outliers is essential. This paper argues that statistical scaling, as commonly used in the literature, does not produce equally good probabilities for outliers as for inliers. Therefore, we propose robust statistical scaling, which uses robust estimators to improve the probabilities for outliers. We evaluate several variants of our method against other outlier score transformations for real-world datasets and outlier detection algorithms, where it can improve the probabilities for outliers.

Philipp Röchner, Simon Klüttermann, Franz Rothlauf et al.

Despite the continuous proposal of new anomaly detection algorithms and extensive benchmarking efforts, progress seems to stagnate, with only minor performance differences between established baselines and new algorithms. In this position paper, we argue that this stagnation is due to limitations in how we evaluate anomaly detection algorithms. Current benchmarking does not, for example, sufficiently reflect the diversity of anomalies in applications ranging from predictive maintenance to scientific discovery. Consequently, we need to rethink benchmarking in anomaly detection. In our opinion, anomaly detection should be studied using scenarios that capture the relevant characteristics of different applications. We identify three key areas for improvement: First, we need to identify anomaly detection scenarios based on a common taxonomy. Second, anomaly detection pipelines should be analyzed end-to-end and by component. Third, evaluating anomaly detection algorithms should be meaningful regarding the scenario's objectives.