Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

77
Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California Detecting Network Attacks Through Traffic Modeling

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Detecting Network Attacks Through Traffic Modeling. Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California. Theme. Objective: Detect flooding attacks. Hypothesis: - PowerPoint PPT Presentation

Transcript of Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Page 1: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Khushboo Shah, Edmond Jonckheere, Stephan Bohacek

University of Southern California

Detecting Network Attacks Through Traffic Modeling

Page 2: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Objective:

Detect flooding attacks.

Hypothesis:

The time series of non-TCP attack traffic has a statistical signature distinct from that of the time series of normal TCP traffic.

Statistical signatures being considered are:

• Mutual information

• Dynamic modeling prediction error

Theme

Page 3: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

• Canonical Correlation Analysis (CCA) and Mutual Information (MI)

• Attack detection on different topologies using Mutual Information:

- Dumbbell topology

- Parking lot topology

- Random topology

- Transit-Stub 100 node topology

• Models derived from CCA and prediction error

- State Space model using Kalman filter

- Nonlinear Auto Regressive (AR) model

• Dynamic attack detection on different topologies using mean square prediction error.

Outline

Page 4: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Canonical Correlation AnalysisObserved signal : {Y(k) : -<k<}, zero-mean random process.

Past: Y-(k) = (y(k-L+1),…, y(k))T

Future: Y+(k) = (y(k+1),…, y(k+L))T where L = lag

One way to understand the correlation between the past and future is to examine C-+ = E(Y-Y+

T)

Page 5: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Canonical Correlation AnalysisObserved signal : {Y(k) : -<k<}, zero-mean random process.

Past: Y-(k) = (y(k-L+1),…, y(k))T

Future: Y+(k) = (y(k+1),…, y(k+L))T where L = lag

One way to understand the correlation between the past and future is to examine C-+ = E(Y-Y+

T)

Another way is to perform canonical correlation analysis:

1,1 subject to

))()((max

22ii

jj

ii jkYikYE

Page 6: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Canonical Correlation AnalysisObserved signal : {Y(k) : -<k<}, zero-mean random process.

Past: Y-(k) = (y(k-L+1),…, y(k))T

Future: Y+(k) = (y(k+1),…, y(k+L))T where L = lag

One way to understand the correlation between the past and future is to examine C-+ = E(Y-Y+

T)

Another way is to perform canonical correlation analysis:

Example:

011

,01

,01

1,1

1,1

21

21

TkYkYkYkYE

increasesYifkYkY

increasesYifkYkY

1,1 subject to

))()((max

22ii

jj

ii jkYikYE

Page 7: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Canonical Correlation AnalysisObserved signal : {Y(k) : -<k<}, zero-mean random process.

Past: Y-(k) = (y(k-L+1),…, y(k))T

Future: Y+(k) = (y(k+1),…, y(k+L))T where L = lag

One way to understand the correlation between the past and future is to examine C-+ = E(Y-Y+

T)

Another way is to perform canonical correlation analysis:

Example:

011

,01

,01

1,1

1,1

21

21

TkYkYkYkYE

increasesYifkYkY

increasesYifkYkY

1,1 subject to

))()((max

22ii

jj

ii jkYikYE

1,1 subject to

))()((max:

22

1

ii

jj

ii jkYikYE

Page 8: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Canonical Correlation AnalysisObserved signal : {Y(k) : -<k<}, zero-mean random process.

Past: Y-(k) = (y(k-L+1),…, y(k))T

Future: Y+(k) = (y(k+1),…, y(k+L))T where L = lag

One way to understand the correlation between the past and future is to examine C-+ = E(Y-Y+

T )

Another way is to perform canonical correlation analysis:

Example:

011

,01

,01

1,1

1,1

21

21

TkYkYkYkYE

increasesYifkYkY

increasesYifkYkY

1,1 subject to

))()((max

22ii

jj

ii jkYikYE

1,1 subject to

))()((max:

22

1

ii

jj

ii jkYikYE

,,1,1 subject to

))()((max:

22

2

ii

jj

ii jkYikYE

Page 9: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

 Auto-correlation of the past is: C-- = E(Y-Y-

T) Auto-correlation of the future is: C++ = E(Y+Y+

T) Cross correlation between the past and the future is: C-+ = E(Y-Y+

T)

Canonical correlation matrix between past and future: CC = C--

-0.5 C-+ C++-0.5

Linear Canonical Correlation Analysis (LCCA)

Page 10: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

 Auto-correlation of the past is: C-- = E(Y-Y-

T) Auto-correlation of the future is: C++ = E(Y+Y+

T) Cross correlation between the past and the future is: C-+ = E(Y-Y+

T)

Canonical correlation matrix between past and future: CC = C--

-0.5 C-+ C++-0.5

Singular Value Decomposition of CC: CC = U V’

where U and V are orthogonal matrices,

1 1 2 … L 0 The ’s are called canonical correlation coefficients .

Linear Canonical Correlation Analysis (LCCA)

L

00

00

00

2

1

Page 11: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

 Auto-correlation of the past is: C-- = E(Y-Y-

T) Auto-correlation of the future is: C++ = E(Y+Y+

T) Cross correlation between the past and the future is: C-+ = E(Y-Y+

T)

Canonical correlation matrix between past and future: CC = C--

-0.5 C-+ C++-0.5

Singular Value Decomposition of CC: CC = U V’

where U and V are orthogonal matrices,

1 1 2 … L 0 The ’s are called canonical correlation coefficients .

Regardless of how large the lag L is, the i ’s have a breakpoint:

1 1 2 … D > > D+1… L 0 0.1 D+1 … L 0

Linear Canonical Correlation Analysis (LCCA)

L

00

00

00

2

1

Page 12: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Observed signal : {Y(k) : -<k<} , zero-mean random process.

1 ,1 subject to

))()((max:1

YYE

Nonlinear Canonical Correlation Analysis (NLCCA)

1,1 subject to

))()((max:

22

1

ii

jj

ii jkYikYE

Page 13: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Observed signal : {Y(k) : -<k<} , zero-mean random process.

Let (Y-(k)) be a non-linear function the past.

We restrict to be a simple polynomial:

)1()()()()())_((0

ikYikYikYikYikYkY i

L

i

i

1 ,1 subject to

))()((max:1

YYE

Nonlinear Canonical Correlation Analysis (NLCCA)

1,1 subject to

))()((max:

22

1

ii

jj

ii jkYikYE

Page 14: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Observed signal : {Y(k) : -<k<} , zero-mean random process.

Let (Y-(k)) be a non-linear function the past.

We restrict to be a simple polynomial:

Semi-NLCCA: Restrict to be a linear function of Y+(k)

)1()()()()())_((0

ikYikYikYikYikYkY i

L

i

i

)())((0

ikYkYL

i

i

1 ,1 subject to

))()((max:1

YYE

Nonlinear Canonical Correlation Analysis (NLCCA)

1,1 subject to

))()((max:

22

1

ii

jj

ii jkYikYE

Page 15: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Observed signal : {Y(k) : -<k<} , zero-mean random process.

Let (Y-(k)) be a non-linear function the past.

We restrict to be a simple polynomial:

Semi-NLCCA: Restrict to be a linear function of Y+(k)

Full-NLCCA: Restrict to be a simple polynomial of Y+(k)

)1()()()()())_((0

ikYikYikYikYikYkY i

L

i

i

)())((0

ikYkYL

i

i

1 ,1 subject to

))()((max:1

YYE

)1()()()()())((0

ikYikYikYikYikYkY i

L

i

i

Nonlinear Canonical Correlation Analysis (NLCCA)

1,1 subject to

))()((max:

22

1

ii

jj

ii jkYikYE

Page 16: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Mutual Information (MI)

The (Akaike) Mutual Information (MI) between the past and future vectors Y-(k) and Y+(k) is given by

where the I’s are the CCCs.

MI is the measure of predictability of the future signal given the past.

If the CCCs are equal to zero, then MI is zero and the given time series is uncorrelated (or independent if the process is normally distributed).

In contrast, if the CCCs are all one, then MI is infinite and the series is completely predictable given the knowledge of the past.

),ln( )1(5.0 2 i

MI

Mutual information can be used to detect an attack

Page 17: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

• Canonical Correlation Analysis (CCA) and Mutual Information

• Attack Detection on different topologies using mutual information.

- Dumbbell topology

- Parking lot topology

- Random topology

- Transit-Stub 100 node topology

• Models derived from CCA and Prediction Error

- State Space Model using Kalman Filter

- Nonlinear Auto Regressive Model

• Dynamic Attack Detection on different topologies using prediction error.

Outline

Page 18: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

What are the observations?

• Link utilization – The number of bytes that traverse the link in one sample period divided by the hardware bandwidth.

• Packet arrivals – The number of packets that arrive at the router in one sample period.

0 1simplex link

Packet/bytes arrivals

Packet/bytes departures

Page 19: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Background traffic: FTP and HTTP traffic from the sources to the destinations.

Attack traffic: CBR packets of 200 bytes are sent from the sources (2, 3, 4) to the destination (9) every 0.005 seconds (320kbps/source).

Delay: 20ms

Simulation run time: 30000 sec

Link bandwidth: 10Mbps; Bottleneck link bandwidth: 1.5 Mbps

Dumbbell Topology

3

2

5

6

4

8

7

10

11

90 1

Sourc

es

Destin

atio

ns Node

under Attack

1.5Mbps

Page 20: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

0 2000 4000 6000 8000 10000 12000 14000 16000

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1Attack Data

Time

Lin

k U

tiliz

atio

n

1 2 3 4 5 6 7 8 9 10 11 12

x 104

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1Normal Data

Time

Lin

k U

tiliz

atio

nMI on Link Utilization for Dumbbell Topology

)ln( )1(5.0 2 iMI

Link Utilization : No. of bytes arriving per sampling period/ hardware bandwidth

Page 21: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

0 2000 4000 6000 8000 10000 12000 14000 16000

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1Attack Data

Time

Lin

k U

tiliz

atio

n

1 2 3 4 5 6 7 8 9 10 11 12

x 104

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1Normal Data

Time

Lin

k U

tiliz

atio

nMI on Link Utilization for Dumbbell Topology

)ln( )1(5.0 2 iMI

1 2 3 4 5 6 7 8 9 1010

15

20

25

30

35

40

45

50

55

60Mutual Information

Sampling Period

Mu

tua

l In

form

atio

n

AttackNon-Attack

The amplitudes of the non-attack and attack signals are similar.

MI is higher for the attack data than for the non-attack data.

Link Utilization : No. of bytes arriving per sampling period/ hardware bandwidth

Page 22: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

0 0.5 1 1.5 2 2.5 3 3.5 4 4.5

x 104

0

50

100

150

200

250

300

350

400

450

500Normal Data

Time

Pa

cke

t A

rriv

als

0 0.5 1 1.5 2 2.5 3 3.5 4

x 104

0

50

100

150

200

250

300

350

400

450

500Attack Data

Time

Pa

cke

t A

rriv

als

MI on Packet Arrivals for Dumbbell Topology

)ln( )1(5.0 2 iMI

Packet arrivals : No. of packets arriving per sampling period.

Page 23: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

0 0.5 1 1.5 2 2.5 3 3.5 4 4.5

x 104

0

50

100

150

200

250

300

350

400

450

500Normal Data

Time

Pa

cke

t A

rriv

als

0 0.5 1 1.5 2 2.5 3 3.5 4

x 104

0

50

100

150

200

250

300

350

400

450

500Attack Data

Time

Pa

cke

t A

rriv

als

MI on Packet Arrivals for Dumbbell Topology

)ln( )1(5.0 2 iMI

1 2 3 4 5 6 7 8 9 1010

15

20

25

30

35

40

45Mutual Information

Sampling PeriodM

utu

al I

nfo

rma

tion

Non-AttackAttack

MI for the attack data is higher than that for the non-attack data, and is hence detecting the abnormality in the traffic.

Packet arrivals : No. of packets arriving per sampling period.

Page 24: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Background traffic: FTP and HTTP traffic to downstream destinations.

Attack traffic: CBR packets of 200 bytes are sent to 4, at the rate of every 0.005 seconds (320kbps/source).

No. of UDP connections: 15

Link bandwidth: 10Mbps

Delay: 20 ms

Link under investigation is : 3 – 4

Parking Lot TopologyNormal Traffic

UDP Flooding Attack

Node under Attack

9

2

10

3

11

4

12

5

6

8

1

0

7

13

Observed link

Page 25: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

0 0.5 1 1.5 2 2.5 3

x 104

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1Attack Data

Time

Lin

k U

tiliz

atio

n

0 0.5 1 1.5 2 2.5 3

x 104

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

Time

Lin

k U

tiliz

atio

nNormal Data

Link Utilization : No. of bytes arriving per sampling period/ hardware bandwidth

MI on Link Utilization for Parking Lot Topology)ln( )1(5.0 2 iMI

Page 26: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

0 0.5 1 1.5 2 2.5 3

x 104

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1Attack Data

Time

Lin

k U

tiliz

atio

n

0 0.5 1 1.5 2 2.5 3

x 104

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

Time

Lin

k U

tiliz

atio

nNormal Data

Link Utilization : No. of bytes arriving per sampling period/ hardware bandwidth

MI on Link Utilization for Parking Lot Topology)ln( )1(5.0 2 iMI

1 2 3 4 5 6 7 8 9 105

6

7

8

9

10

11

12Mutual Information

Sampling Period

Mu

tua

l In

form

atio

n

Non-AttackAttack

Both time series appear to be similar. But there is a clear difference in MI.

MI is higher in the case of attack data.

Page 27: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

1 1.5 2 2.5 3 3.5 4

x 104

0

200

400

600

800

1000

1200

1400

1600 Normal Data

Time

Pa

cke

t A

rriv

als

0 1 2 3 4 5 6

x 104

0

200

400

600

800

1000

1200

1400

1600

1800

2000 Attack Data

Time

Pa

cke

t A

rriv

als

Packet arrivals : No. of packets arriving per sampling period.

)ln( )1(5.0 2 iMI

MI on Packet Arrivals for Parking Lot Topology

Both time-series look similar.

But the statistics reveals the anomaly in the traffic.

1 2 3 4 5 6 7 8 9 105

10

15

20

25

30

35

40 Mutual Information

Sampling Period

Mu

tua

l In

form

atio

n

Attack Non-Attack

Page 28: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

1 2 3 4 5 6 7 8 9 1010

15

20

25

30

35

40

45

50

55

60Mutual Information

Sampling Period

Mut

ual I

nfor

mat

ion

AttackNon-Attack

1 2 3 4 5 6 7 8 9 1010

15

20

25

30

35

40

45Mutual Information

Sampling Period

Mut

ual I

nfor

mat

ion

Non-AttackAttack

1 2 3 4 5 6 7 8 9 105

6

7

8

9

10

11

12Mutual Information

Sampling Period

Mut

ual I

nfor

mat

ion

Non-AttackAttack

Sampling Period1 2 3 4 5 6 7 8 9 10

5

10

15

20

25

30

35

40Mutual Information

Mut

ual I

nfor

mat

ion

Attack Non-Attack

What are the observations?

Mutual information increases under attack.

Link utilization tends to work better than packet arrivals.

Dumbbell Topology

Parking Lot Topology

Page 29: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

The effect of intensity of normal traffic

The normal traffic is HTTP. HTTP traffic is characterized by several parameters:

– Number of pages per session (constant), inter-session time (exponential).

– Number of objects per page (constant), inter-page time (exponential).

– Object size (Pareto).

These parameters are varied to change the intensity of the HTTP traffic.

For these experiments, the CBR attack traffic is held constant.

Page 30: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Background traffic: HTTP traffic to downstream destinations.

Attack traffic: CBR packets of 200 bytes are sent to 4, at the rate of every 0.005 seconds (320kbps/source).

No. of UDP connections: 15

Simulation run time for each trial: 30000 sec

Link bandwidth: 10Mbps

Delay: 20 ms

Link under investigation is : 3 – 4

Parking Lot TopologyNormal Traffic

UDP Flooding Attack

Node under Attack

9

2

10

3

11

4

12

5

6

8

1

0

7

13

Observed link

Page 31: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5

5

10

15

20

25

30Linear Mutual Information: Normal Data

Sampling Period

Mut

ual

Info

rmat

ion

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14

0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.50

5

10

15

20

25

30Linear Mutual Information: Attack Data

Sampling Period

Mut

ual I

nfo

rmat

ion

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14

Observed Link 3-4: Varying HTTP and Constant CBR

Intensity of HTTP traffic decreases from trial 1 to trial 14. So, relatively speaking, CBR traffic increases from trial 1 to trial 14.

Hence the traffic is more predictable and the mutual information increases.

Page 32: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

The effect of varying normal and attack traffic intensity

The normal traffic is HTTP. HTTP traffic is characterized by several parameters:

– Number of pages per session (constant), inter-session time (exponential).

– Number of objects per page (constant), inter-page time (exponential).

– Object size (Pareto).

These parameters are varied to modify the intensity of the HTTP traffic.

The attack traffic is CBR. The rate and packet size are varied to vary the intensity of CBR traffic.

Page 33: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5

5

10

15

20

25

30

35

40Linear Mutual Information: Normal Data

Sampling Period

Mut

ual I

nfor

mat

ion

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14

0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.50

5

10

15

20

25

30

35

40Linear Mutual Information: Attack Data

Sampling Period

Mu

tua

l In

form

atio

n

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14

Trial 1: Least intensity CBR traffic and highest intensity HTTP traffic.Trial 14: Highest intensity CBR traffic and least intensity HTTP traffic.

For trial 1, MI is nearly the same as normal traffic.

The MI is higher as compared to the MI when CBR traffic was held constant because intensity of CBR traffic increases.

The relationship between the relative intensity of CBR traffic and the mutual information is not trivial.

Observed Link 3-4: Varying HTTP and Varying CBR

Page 34: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Can an attack be detected at different link?

• The normal traffic is HTTP.• The attack traffic is CBR.• These parameters are varied to vary the intensity of the HTTP and

CBR traffic.

Page 35: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Parking Lot TopologyNormal Traffic

UDP Flooding Attack

Node under Attack

9

2

10

3

11

4

12

5

6

8

1

0

7

13

Observed link

Background traffic: HTTP traffic to downstream destinations.

Attack traffic: CBR packets sent to 4.

No. of UDP connections: 15

Simulation run time for each trial: 30000 sec

Link bandwidth: 10Mbps

Delay: 20 ms

Link under investigation is : 4 – 5

Page 36: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Observations can detect attacks on links elsewhere in the network.

0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.50

5

10

15

20

25Linear Mutual Information: Attack Data

Sampling Period

Mu

tua

l Inf

orm

atio

n

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14

Observed Link 4-5: Varying HTTP and Constant CBR

0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5

5

10

15

20

25Linear Mutual Information: Normal Data

Sampling Period

Mu

tua

l Inf

orm

atio

n

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14

0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.50

5

10

15

20

25Linear Mutual Information: Attack Data

Sampling Period

Mu

tua

l Inf

orm

atio

n

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14

Observed Link 4-5: Varying HTTP and Varying CBR

0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5

5

10

15

20

25Linear Mutual Information: Normal Data

Sampling Period

Mu

tua

l Inf

orm

atio

n

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14

Page 37: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Linear v.s. Nonlinear CCA

• LCCA: Find CCC between linear function of past and linear function of future.

• Semi-NLCCA: Finds CCC between nonlinear function of past and linear function of future.

• Full-NLCCA: Finds CCC between nonlinear function of past and nonlinear function of future.

• Experiment Set-up:

- Normal traffic is http.

- Attack traffic is CBR.

- Intensity of both traffic is varied.

Page 38: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Parking Lot TopologyNormal Traffic

UDP Flooding Attack

Node under Attack

9

2

10

3

11

4

12

5

6

8

1

0

7

13

Observed link

Background traffic: HTTP traffic to downstream destinations.

Attack traffic: CBR packets are sent to 4.

No. of UDP connections: 15

Simulation run time for each trial: 30000 sec

Link bandwidth: 10Mbps

Delay: 20 ms

Link under investigation is : 3 – 4

Page 39: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

0 0.1 0.2 0.3 0.4 0.50

2

4

6

8

10

12

14

16

18Linear Mutual Information: Attack Data

Sampling Period

Mut

ual I

nfor

mat

ion

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14

0 1 2 3 4 50

2

4

6

8

10

12

14

16

18Semi NonLinear Mutual Information: Attack Data

Sampling Period

Mut

ual I

nfor

mat

ion

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14

0 0.1 0.2 0.3 0.4 0.50

5

10

15

20

25Full NonLinear Mutual Information: Attack Data

Sampling Period

Mut

ual I

nfor

mat

ion

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14

0 0.1 0.2 0.3 0.4 0.52

3

4

5

6

7

8

9Full NonLinear Mutual Information: Normal Data

Sampling Period

Mut

ual I

nfor

mat

ion

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14

0 0.1 0.2 0.3 0.4 0.51

1.5

2

2.5

3

3.5

4

4.5

5

5.5Semi NonLinear Mutual Information: Normal Data

Sampling Period

Mut

ual I

nfor

mat

ion

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14

0 0.1 0.2 0.3 0.4 0.50.5

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5Linear Mutual Information: Normal Data

Sampling Period

Mut

ual I

nfor

mat

ion

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14

MI for LCCA < MI for Semi-NLCCA < MI for Full-NLCCA

Mutual Information for CBR Attack

Linear

Full-Nonlinear

Semi-Nonlinear

Page 40: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Random Topology - 50 nodes (Gt-itm Topology Generator)

Link Monitored

Attack Destination

HTTP Sources

Background traffic: HTTP traffic from random sources to random destinations.

Attack traffic: CBR packets are sent from random attack sources to 14.

Simulation run time for each trial: 30000 sec.

Link bandwidth: 1.5Mbps, Delay: 20 to 120 ms.

Link monitored : 14 – 30 (10 Mbps).

No. of clients = 20

No. of servers = 20

No. of attack sources = min. 10

Attack Destination = 14

Page 41: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.160

10

20

30

40

50

60

70

80

90Linear Mutual Information: Attack Data

Sampling Period

Mu

tua

l Inf

orm

atio

n

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8

0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.160

2

4

6

8

10

12Linear Mutual Information: Normal Data

Sampling Period

Mu

tua

l Inf

orm

atio

n

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =9 Trial =8

0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.160

20

40

60

80

100Semi-Nonlinear Mutual Information: Attack Data

Sampling Period

Mu

tua

l Inf

orm

atio

n

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8

Mutual Information for CBR Attack

0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.160

50

100

150

200

250

300

350Full NonLinear Mutual Information: Attack Data

Sampling Period

Mu

tua

l Inf

orm

atio

n

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13

2

4

6

8

10

12

14

16Full-Nonlinear Mutual Information: Normal Data

Mu

tua

l Inf

orm

atio

n

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8

0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.160

Sampling Period

MI for LCCA < MI for Semi-NLCCA < MI for Full-NLCCA

Linear

Full-Nonlinear

Semi-Nonlinear

0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.160

2

4

6

8

10

12

14

Sampling Period

Mu

tua

l Inf

orm

atio

n

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13

SemiNonLinear Mutual Information: Normal Data

Page 42: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Infrastructure Attacks

• Cert has noted that DoS attacks on links and routers is increasing.

• A coordinated attack can utilize many end hosts that all send packets that eventually traverse the same link thereby hogging all link bandwidth.

Page 43: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Transit-Stub 100 Node Topology

HTTP Client

HTTP Server

2

0

3

1

510

4545

100 43

5

100

10

10

10

Attack SourcesA

ttack D

estin

atio

ns

HTTP C

lients

10

10

10

10

45

Link Under Attack

generated using Gt-itm topology generator

Page 44: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Time Series at Monitored Links

HTTP Server

2

0

5

43

5

Link Under Attack

HTTP Client

Page 45: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Linear Mutual InformationHTTP Server

Link under Attack

The attack can be detected!

Page 46: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.161

2

3

4

5

6

7

8Full NonLinear Mutual Information: Normal Data

Sampling Period

Mu

tua

l In

form

ati

on

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14 Trial =15

0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.161

2

3

4

5

6

7

8Full NonLinear Mutual Information: Attack Data

Sampling Period

Mu

tua

l In

form

ati

on

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14 Trial =15

0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.160

10

20

30

40

50

60

70Full NonLinear Mutual Information: Attack Data

Sampling Period

Mu

tua

l In

form

ati

on

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14 Trial =15

0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.160

5

10

15

20

25

30

35

40

45

50Full NonLinear Mutual Information: Normal Data

Sampling Period

Mu

tua

l In

form

ati

on

Trial =1 Trial =2 Trial =3 Trial =4 Trial =5 Trial =6 Trial =7 Trial =8 Trial =9 Trial =10 Trial =11 Trial =12 Trial =13 Trial =14 Trial =15

HTTP ServerFull Non Linear Mutual Information

Link under Attack

MI for LCCA < MI for Full-NLCCA

Page 47: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

• Canonical Correlation Analysis (CCA) and Mutual Information

• Attack Detection on different topologies using mutual information.

- Dumbbell topology

- Parking lot topology

- Random topology

- Transit-Stub 100 node topology

• Models derived from CCA and Prediction Error

- State Space Model using Kalman Filter

- Nonlinear Auto Regressive Model

• Dynamic Attack Detection on different topologies using prediction error.

Outline

Page 48: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

State Space ModelingSuppose,we want to construct State Space Model of the form

x(k+1) = Ax(k) + w(k)

y(k) = Cx(k) + w(k)

where A and C are system matrices. w(k) and v(k) are zero-mean uncorrelated sequences.

x(k) = part of the past necessary to predict the future (state)

x(k), A, C and correlation matrices are derived from CCA.

Use Kalman filter to find state recursively.

One step ahead prediction can be obtained by,

n-step ahead prediction can be obtained by,

)1(ˆ)1(ˆ kxCky

)1(ˆ)(ˆ 1 kxCAnky n

Page 49: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Nonlinear AR Model

)()(1

0kwnikynky

L

i i

Let the nonlinear function ( ) of Y-(k) be a simple polynomial.

Construct AR Model:

The one-step ahead prediction can be obtained by

The n-step ahead prediction can be obtained by

)1()()()()())_((0

ikYikYikYikYikYkY i

L

ii

)()1(1

0kwikyky

L

i i

Page 50: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

L

imeani

yyL

YVar1

2)(1

1)(

L

i estiyy

LMSE

1

2)(1

1

Prediction Metric

Variance is the mean square error if the mean is used as prediction, i.e,

yest = ymean MSE = Var(Y) NMSE = 1

Hence, One expects NMSE 1

Normalized Mean Square Error:

whereNMSE = MSE/Var(Y)

Mean Square Error is:

Change in NMSE can be used to detect an attack.

Page 51: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Background traffic: HTTP traffic to downstream destinations.

Attack traffic: CBR packets are sent to 4.

No. of UDP connections: 15

Link bandwidth: 10Mbps

Delay: 20 ms

Link under investigation is : 3 – 4

Parking Lot TopologyNormal Traffic

UDP Flooding Attack

Node under Attack

9

2

10

3

11

4

12

5

6

8

1

0

7

13

Observed link

Page 52: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

0 5 10 15 20 25 300.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1Linear StateSpace Model

Step Ahead Prediction

No

rmal

ized

Mea

n S

qu

are

Err

or

Normal Model on Normal DataNormal Model on Attack Data

No

rmal

ized

Mea

n S

qu

are

Err

or

0 5 10 15 20 25 300.3

0.4

0.5

0.6

0.7

0.8

0.9

1NonlinearAR Model

Step Ahead Prediction

Normal Model on Normal DataNormal Model on Attack Data

Prediction with Linear State Space and Nonlinear AR Models

Nonlinear AR works better for prediction and detection as compared with linear state space model.

Page 53: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Random Topology - 50 nodes (Gt-itm Topology Generator)

Link Monitored

Attack Destination

HTTP Sources

Background traffic: HTTP traffic from random sources to random destinations.

Attack traffic: CBR packets are sent from random attack sources to 14.

Simulation run time for each trial: 30000 sec.

Link bandwidth: 1.5Mbps, Delay: 20 to 120 ms.

Link monitored : 14 – 30 (10 Mbps).

No. of clients = 20

No. of servers = 20

No. of attack sources = min. 10

Attack Destination = 14

Page 54: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

0 5 10 15 20 25 300.2

0.4

0.6

0.8

1

1.2

1.4

1.6

1.8

2

2.2 NonLinearAR Model

Step Ahead Prediction

Nor

mal

ized

Mea

n S

quar

e E

rror

Normal Model on Normal DataNormal Model on Attack Data

0 5 10 15 20 25 300

0.5

1

1.5

2

2.5 Linear StateSpace Model

Step Ahead Prediction

Nor

mal

ized

Mea

n S

quar

e E

rror

Normal Model on Normal DataNormal Model on Attack Data

Prediction with Linear State Space

and Nonlinear AR Models

Nonlinear AR works better for prediction and equally well for detection as compared with linear state space model.

Page 55: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Transit-Stub 100 Node Topology

HTTP Client

HTTP Server

2

0

3

1

510

4545

100 43

5

100

10

10

10

Attack SourcesA

ttack D

estin

atio

ns

HTTP C

lients

10

10

10

10

45

Link Under Attack

generated using Gt-itm topology generator

Page 56: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

0 5 10 15 20 25 300

0.2

0.4

0.6

0.8

1

1.2

1.4 Linear StateSpace Model

Step Ahead Prediction

No

rma

lize

d M

ea

n S

qu

are

Err

or

Normal Model on Normal DataNormal Model on Attack Data

0 5 10 15 20 25 300

2

4

6

8

10 NonLinearAR Model

Step Ahead PredictionN

orm

aliz

ed M

ean

Squ

are

Err

or

Normal Model on Normal DataNormal Model on Attack Data

Prediction with Linear State Space

and Nonlinear AR Models

Nonlinear AR works better for prediction and detection as compared with linear state space model.

Page 57: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Conclusion

• Time series of TCP traffic has distinct signature as compared to the time series of non TCP attack traffic.

• Mutual information is a useful tool for detecting flooding attacks.

• Increase in the mutual information is topology independent for flooding attacks.

• Mean square error is a also a useful tool for detecting flooding attacks.

Page 58: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Future Work

• Understand the relationship between CBR rate and mutual information. ( A slightly modified version of mutual information may be required.)

• Utilize packet type information for detecting flooding attacks.

• Investigate different types of attacks such as SYN and PING attacks using both detection tools.

Page 59: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Linear versus Nonlinear Normal versus Attack

for Parking Lot Topology

1 2 3 4 5 6 7 8 9 100

10

20

30

40

50

60

70

80

90Mutual Information at Different Sampling Period

Mut

ual I

nfor

mat

ion

Sampling Period

NLCCA Non-AttackNLCCA AttackLCCA Non-AttackLCCA Attack

20 40 60 80 100 120 140 160 180 2004

6

8

10

12

14

16

18

20

22

24Mutual Information at Different Lag

Lag

Mut

ual I

nfor

mat

ion

NLCCA Attack NLCCA Non-AttackLCCA Attack LCCA Non-Attack

Page 60: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

20 40 60 80 100 120 140 160 180 2000

2

4

6

8

10

12Mutual Information at Different Lag

Lag

Mut

ual I

nfor

mat

ion

NLCCA Attack NLCCA Non-AttackLCCA Attack LCCA Non-Attack

1 2 3 4 5 6 7 8 9 100

5

10

15

20

25

30

35Mutual Information at Different Sampling Period

Sampling Period

Mut

ual I

nfor

mat

ion

NLCCA Attack NLCCA Non-AttackLCCA Attack LCCA Non-Attack

Linear versus Nonlinear Normal versus Attack for Dumbbell Topology

Page 61: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

State Space Modeling

Another way to compute the state is as follows:

By weak stationarity,

Decompose the C-- matrix into Cholesky factors TLLC

)(1

000

00

000

00

)( 5.02

1

kYLVkX

YCVkX

T

T

d

))()(())()(( TT kYkYECkYkYEC

15.0 LCSo,

Page 62: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Suppose we want to construct a State Space Model of the form

where A and C are system matrices and w(k) and v(k) are zero-mean uncorrelated sequences.

)()()()()(1

kvkCxkykwk Ax) x(k

kCCk YY 1)(ˆ

kCVUCk T

YY 5.05.0)(ˆ

kCCCCCk

YY 5.05.05.05.0)(ˆ

Ld

kCVUCk T

d

)(

000

00

000

00

)(~ˆ 5.02

1

5.0 YY

CxxUCx

UCkY

11

5.05.0

0)(

)(

000

00

000

00

)( 5.02

1

kYCVkX T

d

State Space Modeling

Page 63: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Suppose we want to construct a State Space Model of the form

where A and C are system matrices and w(k) and v(k) are zero-mean uncorrelated sequences.

)()()()()(1

kvkCxkykwk Ax) x(k

kCCk YY 1)(ˆ

State Space Modeling

Page 64: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Suppose we want to construct a State Space Model of the form

where A and C are system matrices and w(k) and v(k) are zero-mean uncorrelated sequences.

)()()()()(1

kvkCxkykwk Ax) x(k

kCCk YY 1)(ˆ

kCCCCCk

YY 5.05.05.05.0)(ˆ

State Space Modeling

Page 65: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Suppose we want to construct a State Space Model of the form

where A and C are system matrices and w(k) and v(k) are zero-mean uncorrelated sequences.

)()()()()(1

kvkCxkykwk Ax) x(k

kCCk YY 1)(ˆ

kCVUCk T

YY 5.05.0)(ˆ

kCCCCCk

YY 5.05.05.05.0)(ˆ

State Space Modeling

Page 66: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Suppose we want to construct a State Space Model of the form

where A and C are system matrices and w(k) and v(k) are zero-mean uncorrelated sequences.

)()()()()(1

kvkCxkykwk Ax) x(k

kCCk YY 1)(ˆ

kCVUCk T

YY 5.05.0)(ˆ

kCCCCCk

YY 5.05.05.05.0)(ˆ

State Space Modeling

)()(ˆ 5.0

1

2

1

5.0 kCVUCk T

d

d

YY

01tsignifican

21 d

Page 67: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

State Space Modeling

state

5.0

2

1

5.0 )(

0

)(ˆ kCVUCk T

d

YY

01tsignifican

21 d

Page 68: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

State Space Modeling

state

5.0

2

1

5.0 )(

0

)(ˆ kCVUCk T

d

YY

01tsignifican

21 d

)(

0

)( 5.0

2

1

kCVk T

d

YX

01tsignifican

21 d

Page 69: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

State Space Modeling

0

x

X

Page 70: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

State Space Modeling

)(

000

00

000

00

)( 5.02

1

kCVkx T

d

Y

0

x

X

Page 71: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

State Space Modeling

)(

000

00

000

00

)( 5.02

1

kCVkx T

d

Y

0

x

X

CxxUCx

UCk

11

5.05.0

0)(Y

Page 72: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

State Space Modeling

)(

000

00

000

00

)( 5.02

1

kCVkx T

d

Y

0

x

X

CxxUCx

UCk

11

5.05.0

0)(Y

CxxUCky

~)(ˆ 5.0

Page 73: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

))()((

)(

))()(cov(

0

1

0

T

yy

T

yy

T

yyyy

T

T

kYkYE

where

VCVVCVCC

CC

kvkvR

State Space Modeling

)/()( 11 kkk xxExkw

))(cov(

)(

)cov(

1

1

111

kX

where

VVCVVCVVCVVC

AA

kwkwQ

T

kk

T

kk

T

kk

T

kk

T

T

)/()( kkk xyEykv

T

TT

kkk

T

kk

T

T

CAM

CxxEYYELV

kvkwEN

)()(

))()((

1

1

))()((ˆ

ˆ

)()(11

1

1

kYkYER

where

VLRLV

xxExxEATT

T

kk

T

kk

11

5.0

1

21

1

1

...)(

)(

)()(

UCC

VL

VVCVC

xxExyEC

T

T

yy

T

yy

T

kk

T

kk

Page 74: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

0)0(ˆ

))(ˆ)(()(ˆ)1(ˆ

x

kxCkyLkxAkx

1'' ))()()(()( CkCPRNAkAPkL

The state predictor is derived using

where L is the Kalman filter gain matrix. It is determined such that the state error covariance, P(k+1), is minimized.

P(k) is computed recursively as follows:

where P0 is the error covariance of x at time 0 and can be assumed to be zero.

State Estimation and Prediction using Kalman Filter

))1()1(()1( ' kekeEkP ))1(ˆ)1(()1( kxkxke

))(())()()(()()1( '1''' NAkCPRCkCPNCkAPAkAPQkP

and

0)0( PP

Page 75: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

))(ˆ)(()(ˆ)1(ˆ kxCkyLkxAkx

)1(ˆ)1(ˆ kxCky

)1(ˆ)(ˆ 1 kxCAnky n

y(k) can be obtained by following recursive equations:

The n-step ahead prediction can be obtained by

The one-step ahead prediction can be obtained by

Kalman Filter

Page 76: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Let the nonlinear function ( ) of Y-(k) be a simple polynomial:

Construct AR model:

The one-step ahead prediction can be obtained by

The n-step ahead prediction can be obtained by

Nonlinear AR Model

)()(1

0kwnikynky

L

i i

)1()()()()())_((0

ikYikYikYikYikYkY i

L

ii

)()1(1

0kwikyky

L

i i

Page 77: Khushboo Shah, Edmond Jonckheere, Stephan Bohacek University of Southern California

Increase in the MI indicates increase in the CCC. At higher sampling period, the signal is more averaged; hence, the signal is more predictable.

Hence, the prediction error decreases and the inverse of the mean square error increases.

MI ~ 1/Mean Square Error

2 3 4 5 6 7 8 9

950

1000

1050

1100

1150

1200Inverse Mean Square Error

MS

E I

nve

rse

Sampling Periods1

850

900

Mutual Information at Different Sampling Periods

Sampling Periods

Mu

tua

l In

form

atio

n