We propose a novel and efficient method, that we shall call TopRank in the following paper, for detecting change-points in high-dimensional data. This issue is of growing concern to the network security community since network anomalies such as Denial of Service (DoS) attacks lead to changes in Internet traffic. Our method consists of a data reduction stage based on record filtering, followed by a nonparametric change-point detection test based on U-statistics. Using this approach, we can address massive data streams and perform anomaly detection and localization on the fly. We show how it applies to some real Internet traffic provided by France-Télécom (a French Internet service provider) in the framework of the ANR-RNRT OSCAR project. This approach is very attractive since it benefits from a low computational load and is able to detect and localize several types of network anomalies. We also assess the performance of the TopRank algorithm using synthetic data and compare it with alternative approaches based on random aggregation.
"Detection and localization of change-points in high-dimensional network traffic data." Ann. Appl. Stat. 3 (2) 637 - 662, June 2009. https://doi.org/10.1214/08-AOAS232