Machine learning for journal entry testing: A type-aware evaluation of anomaly detectors under a review budget

Jan Gronewald, Michel Scherer, Nijat Mehdiyev

Journal entry anomaly detectors are commonly evaluated on the full population with ROC-AUC, precision and recall, ignoring the review budget and which anomaly types are found. We propose a type-aware evaluation combining per-type recall, fair-share type recall (FSR), which caps each type's credit at its budget share, type coverage and first-hit rank. We evaluate nine unsupervised detectors, a supervised reference and feedback-driven Deep Semi-Supervised Anomaly Detection (DeepSAD) on four real client ledgers with injected typed anomalies and a public synthetic ledger. On the largest client ledger, principal component analysis (PCA), an autoencoder (AE) and a variational autoencoder (VAE) each place on average 98 anomalies among the first 100 postings, but at least 95.8 belong to one type. FSR instead favours a nearest-neighbour (kNN) detector and changes the top-ranked detector on three of four client ledgers. Representation also matters: one-hot encoding exposes unseen accounts, whereas frequency encoding leaves unseen contra accounts largely undetected. On the public ledger, the Histogram-Based Outlier Score (HBOS) and Empirical Cumulative Distribution-Based Outlier Detection…