SDVAR Algorithm for Detecting Fraud in Telecommunications
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 . 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.
Telecommunications Fraud, SDVAR Algorithm, Multivariate
time series, Vector Autoregressive, Change points.