Anomaly Detection in Streaming Nonstationary Temporal Data

Abstract

This article proposes a framework that provides early detection of anomalous series within a large collection of nonstationary streaming time-series data. We define an anomaly as an observation, that is, very unlikely given the recent distribution of a given system. The proposed framework first calculates a boundary for the system’s typical behavior using extreme value theory. Then a sliding window is used to test for anomalous series within a newly arrived collection of series. The model uses time series features as inputs, and a density-based comparison to detect any significant changes in the distribution of the features. Using various synthetic and real world datasets, we demonstrate the..