What if you use the depth in the RRCF instead?

Axis aligned artifacts

Left: Original data distribution. Right: Learned co-displacement, darker is lower.

Notice the echoes around (10,-10) and (-10, 10)

There are minor artifacts created by choosing axis aligned cuts in RRCF, similar to what was noted with IsoForest. 

Training an autoencoder with mostly noise

I am working on a project where we wish to use anomaly detection to find what image patches have structure and which don't. As an aside, I ran an experiment on MNIST. You have 500 images of fives. You have 5000 images that are pure noise. You train a deep convolutional autoencoder. What you end up with is the following reconstruction:

The top row are the inputs and the bottom row are the reconstructions. You find images of fives even when nothing is present.

Goal of Anomaly Detection in Non-stationary Data

I was explaining anomaly detection in non-stationary data to someone and threw together this crude example figure. The blue points are nominal and represent 90% of the points. The red are anomalous and represent 10% of the points. In this example, the red data is stationary while the blue passes through it. Thus, it would be very difficult to differentiate the red and blue points when they overlap. However, even if we only had a few frames of this video, we would like to be able to realize there are two dynamics going on.

The code for this is: