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Can some one please explain Isolation Forests more clearly? Everywhere I search, I find the same explanation:
Isolation Forest ‘isolates’ observations by randomly selecting a feature and then randomly selecting a split value between the maximum and minimum values of the selected feature.
Let's take an example to solve this:
x1 = [2, 1, 4, 6, 4, 2, 1, 2, 3, 4, 19]
How would I say that 19 is an outlier?
The idea is that the faster you can isolate a sample the higher the chance it is an outlier/anomaly.
Here is one possible scenario for your example:
x1 = [2, 1, 4, 6, 4, 2, 1, 2, 3, 4, 19]
x1_left = [2,1,4,6,4,2,1,2,3,4]
x1_right = [19]
We already isolated 19 after one step whereas the other samples "to the left" are not yet isolated and haven't changed much so far. Any threshold sampled greater than 6 would isolate 19 in a single split which has a probability close to 70%.
To make it more obvious, say x1=[1,2,3,4,5,10000000000]. Sampling a value between 1 and 10000000000 will almost surely give a result > 5 and therefore immediately isolate 10000000000.