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There is KDD'98 cup data waiting for me to run some anomaly detection algorithms but Weka does not include any of them, natively. Is there any 3rd part package that can be integrated to weka?

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Weka has a Libsvm package which includes the one-class Support Vector Machine (SVM) classifier which is quite widely used for outlier detection problems.

To begin with, here is a nice lecture on one-class SVM -- http://www.youtube.com/watch?v=rNGtj2iEw6g.

And below are the two widely read references on one-class SVM:

-- Schölkopf, B., J. C. Platt, et al. (2001). "Estimating the Support of a High-Dimensional Distribution." Neural Computation 13(7): 1443-1471.

-- Tax, D. J. and R. W. Duin (2004). "Support Vector Data Description." Machine Learning 54(1): 45-66.

Hope this helps.

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