So, the trick is to separate the truly unexplained phenomena from the noise. I had heard that some serious equipment was used to check Loch Ness for Nessie, and the results were negative. That was a relatively easy one because the phenomenon was localized. Some still believe that she was there, but had died. A little trickier to check the whole wide world.
Jacques Vallee is the guy who is the best known researcher on this stuff.
While he is best known as an expert on UFOs his background is information processing (using computers) and he has been at this for many decades.
He has created huge databases of UFOs of all kinds and has written many books which describe his efforts to separate the signal from the noise.
The best introduction to his work is the classic “Passport to Magonia”.
Spoiler: Some of this is signal—real alien craft.