Local Kernel Density Ratio-Based Feature Selection for Outlier Detection

Selecting features is an important step of any machine learning task, though most of the focus has been to choose features relevant for classification and regression. In this work, we present a novel non-parametric evaluation criterion for filter-based feature selection which enhances outlier detection. Our proposed method seeks the subset of features that represents the inherent characteristics of the normal dataset while forcing outliers to stand out, making them more easily distinguished by outlier detection algorithms. Experimental results on real datasets show the advantage of this feature selection algorithm compared to popular and state-of-the-art methods. We also show that the proposed algorithm is able to overcome the small sample space problem and perform well on highly imbalanced datasets.