Open Science Research Excellence

Robert King

Publications

1

Publications

1
8767
SDVAR Algorithm for Detecting Fraud in Telecommunications
Abstract:
This paper presents a procedure for estimating VAR using Sequential Discounting VAR (SDVAR) algorithm for online model learning to detect fraudulent acts using the telecommunications call detailed records (CDR). The volatility of the VAR is observed allowing for non-linearity, outliers and change points based on the works of [1]. This paper extends their procedure from univariate to multivariate time series. A simulation and a case study for detecting telecommunications fraud using CDR illustrate the use of the algorithm in the bivariate setting.
Keywords:
Telecommunications Fraud, SDVAR Algorithm, Multivariate time series, Vector Autoregressive, Change points.