Driven by network intrusion detection, we propose a MultiResolution Anomaly Detection (MRAD) method, which effectively utilizes the multiscale properties of Internet features and network anomalies. In this paper, several theoretical properties of the MRAD method are explored. A major new result is the mathematical formulation of the notion that a two-scaled MRAD method has larger power than the average power of the detection method based on the given two scales. Test threshold is also developed. Comparisons between MRAD method and other classical outlier detectors in time series are reported as well.
In this paper we construct a learning architecture for high dimensional time series sampled by sensor arrangements. Using a redundant wavelet decomposition on a graph constructed over the sensor locations, our algorithm is able to construct discriminative features that exploit the mutual information between the sensors. The algorithm then applies scattering networks to the time series graphs to create the feature space. We demonstrate our method on a machine olfaction problem, where one needs to classify the gas type and the location where it originates from data sampled by an array of sensors…
In this work we consider the problem of detecting anomalous spatio-temporal behavior in videos. Our approach is to learn the normative multiframe pixel joint distribution and detect deviations from it using a likelihood based approach. Due to the extreme lack of available training samples relative to the dimension of the distribution, we use a mean and covariance approach and consider methods of learning the spatio-temporal covariance in the low-sample regime. Our approach is to estimate the covariance using parameter reduction and sparse models. The first method considered is the representati…
This article proposes novel rules for false discovery rate control (FDRC) geared towards online anomaly detection in time series. Online FDRC rules allow to control the properties of a sequence of statistical tests. In the context of anomaly detection, the null hypothesis is that an observation is normal and the alternative is that it is anomalous. FDRC rules allow users to target a lower bound on precision in unsupervised settings. The methods proposed in this article overcome short-comings of previous FDRC rules in the context of anomaly detection, in particular ensuring that power remains h…
Dive into Time-Series Anomaly Detection: A Decade Review
Inria（法国国家信息与自动化研究所）；DI ENS（巴黎高等师范学院数字研究所）；PSL（巴黎文理研究大学）；CNRS（法国国家科学研究中心）；The Ohio State University（俄亥俄州立大学）；Université Paris Cité（巴黎西岱大学）；IUF（法国大学研究院）
We consider the problem of automated anomaly detection for building level heat load time series. An anomaly detection model must be applicable to a diverse group of buildings and provide robust results on heat load time series with low signal-to-noise ratios, several seasonalities, and significant exogenous effects. We propose to employ a probabilistic forecast combination approach based on an ensemble of deterministic forecasts in an anomaly detection scheme that classifies observed values based on their probability under a predictive distribution. We show empirically that forecast based anom…
Time series anomaly detection plays a critical role in automated monitoring systems. Most previous deep learning efforts related to time series anomaly detection were based on recurrent neural networks (RNN). In this paper, we propose a time series segmentation approach based on convolutional neural networks (CNN) for anomaly detection. Moreover, we propose a transfer learning framework that pretrains a model on a large-scale synthetic univariate time series data set and then fine-tunes its weights on small-scale, univariate or multivariate data sets with previously unseen classes of anomalies…
Anomaly detection for time-series data has been an important research field for a long time. Seminal work on anomaly detection methods has been focussing on statistical approaches. In recent years an increasing number of machine learning algorithms have been developed to detect anomalies on time-series. Subsequently, researchers tried to improve these techniques using (deep) neural networks. In the light of the increasing number of anomaly detection methods, the body of research lacks a broad comparative evaluation of statistical, machine learning and deep learning methods. This paper studies …
Anomaly detection in time series has been widely researched and has important practical applications. In recent years, anomaly detection algorithms are mostly based on deep-learning generative models and use the reconstruction error to detect anomalies. They try to capture the distribution of normal data by reconstructing normal data in the training phase, then calculate the reconstruction error of test data to do anomaly detection. However, most of them only use the normal data in the training phase and can not ensure the reconstruction process of anomaly data. So, anomaly data can also be we…
The monitoring and management of numerous and diverse time series data at Alibaba Group calls for an effective and scalable time series anomaly detection service. In this paper, we propose RobustTAD, a Robust Time series Anomaly Detection framework by integrating robust seasonal-trend decomposition and convolutional neural network for time series data. The seasonal-trend decomposition can effectively handle complicated patterns in time series, and meanwhile significantly simplifies the architecture of the neural network, which is an encoder-decoder architecture with skip connections. This arch…
Anomaly detection in time series data is a significant problem faced in many application areas such as manufacturing, medical imaging and cyber-security. Recently, Generative Adversarial Networks (GAN) have gained attention for generation and anomaly detection in image domain. In this paper, we propose a novel GAN-based unsupervised method called TAnoGan for detecting anomalies in time series when a small number of data points are available. We evaluate TAnoGan with 46 real-world time series datasets that cover a variety of domains. Extensive experimental results show that TAnoGan performs bet…
Tencent Company（腾讯公司）；National University of Singapore（新加坡国立大学）
Time series anomaly detection is usually formulated as finding outlier data points relative to some usual data, which is also an important problem in industry and academia. To ensure systems working stably, internet companies, banks and other companies need to monitor time series, which is called KPI (Key Performance Indicators), such as CPU used, number of orders, number of online users and so on. However, millions of time series have several shapes (e.g. seasonal KPIs, KPIs of timed tasks and KPIs of CPU used), so that it is very difficult to use a simple statistical model to detect anomaly …
In recent studies, Lots of work has been done to solve time series anomaly detection by applying Variational Auto-Encoders (VAEs). Time series anomaly detection is a very common but challenging task in many industries, which plays an important role in network monitoring, facility maintenance, information security, and so on. However, it is very difficult to detect anomalies in time series with high accuracy, due to noisy data collected from real world, and complicated abnormal patterns. From recent studies, we are inspired by Nouveau VAE (NVAE) and propose our anomaly detection model: Time ser…
IIT Palakkad（帕拉克卡德印度理工学院）；Queen’s University Belfast（贝尔法斯特女王大学）
Time series data is ubiquitous in the real-world problems across various domains including healthcare, social media, and crime surveillance. Detecting anomalies, or irregular and rare events, in time series data, can enable us to find abnormal events in any natural phenomena, which may require special treatment. Moreover, labeled instances of anomaly are hard to get in time series data. On the other hand, time series data, due to its nature, often exhibits localized expansions and compressions in the time dimension which is called warping. These two challenges make it hard to detect anomalies …
Anomaly detection of time series plays an important role in reliability systems engineering. However, in practical application, there is no precisely defined boundary between normal and anomalous behaviors in different application scenarios. Therefore, different anomaly detection algorithms and processes ought to be adopted for time series in different situation. Although such strategy improve the accuracy of anomaly detection, it takes a lot of time for practitioners to configure various algorithms to millions of series, which greatly increases the development and maintenance cost of anomaly …
University of Chinese Academy of Sciences（中国科学院大学）；Peking University（北京大学）；Microsoft（微软）
Large companies need to monitor various metrics (for example, Page Views and Revenue) of their applications and services in real time. At Microsoft, we develop a time-series anomaly detection service which helps customers to monitor the time-series continuously and alert for potential incidents on time. In this paper, we introduce the pipeline and algorithm of our anomaly detection service, which is designed to be accurate, efficient and general. The pipeline consists of three major modules, including data ingestion, experimentation platform and online compute. To tackle the problem of time-se…
Harbin Institute of Technology, Shenzhen（哈尔滨工业大学（深圳））
Anomaly detection is a classical but worthwhile problem, and many deep learning-based anomaly detection algorithms have been proposed, which can usually achieve better detection results than traditional methods. In view of reconstruct ability of the model and the calculation of anomaly score, this paper proposes a time series anomaly detection method based on Variational AutoEncoder model(VAE) with re-Encoder and Latent Constraint network(VELC). In order to modify reconstruct ability of the model to prevent it from reconstructing abnormal samples well, we add a constraint network in the latent…
Anomalies (unusual patterns) in time-series data give essential, and often actionable information in critical situations. Examples can be found in such fields as healthcare, intrusion detection, finance, security and flight safety. In this paper we propose new conformalized density- and distance-based anomaly detection algorithms for a one-dimensional time-series data. The algorithms use a combination of a feature extraction method, an approach to assess a score whether a new observation differs significantly from a previously observed data, and a probabilistic interpretation of this score bas…
University of Toronto（多伦多大学）；Vector Institute（向量研究所）；Zalando Research（Zalando研究院）；Morgan Stanley（摩根士丹利）；Technical University of Munich（慕尼黑工业大学）；Amazon Research（亚马逊研究院）
We introduce a novel, practically relevant variation of the anomaly detection problem in multi-variate time series: intrinsic anomaly detection. It appears in diverse practical scenarios ranging from DevOps to IoT, where we want to recognize failures of a system that operates under the influence of a surrounding environment. Intrinsic anomalies are changes in the functional dependency structure between time series that represent an environment and time series that represent the internal state of a system that is placed in said environment. We formalize this problem, provide under-studied publi…
Anomaly detection on multivariate time-series is of great importance in both data mining research and industrial applications. Recent approaches have achieved significant progress in this topic, but there is remaining limitations. One major limitation is that they do not capture the relationships between different time-series explicitly, resulting in inevitable false alarms. In this paper, we propose a novel self-supervised framework for multivariate time-series anomaly detection to address this issue. Our framework considers each univariate time-series as an individual feature and includes tw…
Pennsylvania State University（宾夕法尼亚州立大学）；MIT-IBM Watson AI Lab, IBM Research（IBM研究院MIT-IBM沃森人工智能实验室）
Anomaly detection is a widely studied task for a broad variety of data types; among them, multiple time series appear frequently in applications, including for example, power grids and traffic networks. Detecting anomalies for multiple time series, however, is a challenging subject, owing to the intricate interdependencies among the constituent series. We hypothesize that anomalies occur in low density regions of a distribution and explore the use of normalizing flows for unsupervised anomaly detection, because of their superior quality in density estimation. Moreover, we propose a novel flow …
Several techniques for multivariate time series anomaly detection have been proposed recently, but a systematic comparison on a common set of datasets and metrics is lacking. This paper presents a systematic and comprehensive evaluation of unsupervised and semi-supervised deep-learning based methods for anomaly detection and diagnosis on multivariate time series data from cyberphysical systems. Unlike previous works, we vary the model and post-processing of model errors, i.e. the scoring functions independently of each other, through a grid of 10 models and 4 scoring functions, comparing these…
Norwegian University of Science and Technology（挪威科技大学）；Simula Research Laboratory（西穆拉研究实验室）
Anomaly detection is an active research topic in many different fields such as intrusion detection, network monitoring, system health monitoring, IoT healthcare, etc. However, many existing anomaly detection approaches require either human intervention or domain knowledge, and may suffer from high computation complexity, consequently hindering their applicability in real-world scenarios. Therefore, a lightweight and ready-to-go approach that is able to detect anomalies in real-time is highly sought-after. Such an approach could be easily and immediately applied to perform time series anomaly d…
AWS AI Labs（AWS 人工智能实验室）；Technical University of Munich（慕尼黑工业大学）
Time series data are often corrupted by outliers or other kinds of anomalies. Identifying the anomalous points can be a goal on its own (anomaly detection), or a means to improving performance of other time series tasks (e.g. forecasting). Recent deep-learning-based approaches to anomaly detection and forecasting commonly assume that the proportion of anomalies in the training data is small enough to ignore, and treat the unlabeled data as coming from the nominal data distribution. We present a simple yet effective technique for augmenting existing time series models so that they explicitly ac…
While anomaly detection in time series has been an active area of research for several years, most recent approaches employ an inadequate evaluation criterion leading to an inflated F1 score. We show that a rudimentary Random Guess method can outperform state-of-the-art detectors in terms of this popular but faulty evaluation criterion. In this work, we propose a proper evaluation metric that measures the timeliness and precision of detecting sequential anomalies. Moreover, most existing approaches are unable to capture temporal features from long sequences. Self-attention based approaches, su…
The stability and persistence of web services are important to Internet companies to improve user experience and business performances. To keep eyes on numerous metrics and report abnormal situations, time series anomaly detection methods are developed and applied by various departments in companies and institutions. In this paper, we proposed a robust anomaly detection algorithm (MEDIFF) to monitor online business metrics in real time. Specifically, a decomposition method using robust statistical metric--median--of the time series was applied to decouple the trend and seasonal components. Wit…
Pohang University of Science and Technology（浦项科技大学）
Anomaly detection in database management systems (DBMSs) is difficult because of increasing number of statistics (stat) and event metrics in big data system. In this paper, I propose an automatic DBMS diagnosis system that detects anomaly periods with abnormal DB stat metrics and finds causal events in the periods. Reconstruction error from deep autoencoder and statistical process control approach are applied to detect time period with anomalies. Related events are found using time series similarity measures between events and abnormal stat metrics. After training deep autoencoder with DBMS me…
In the class of streaming anomaly detection algorithms for univariate time series, the size of the sliding window over which various statistics are calculated is an important parameter. To address the anomalous variation in the scale of the pseudo-periodicity of time series, we define a streaming multi-scale anomaly score with a streaming PCA over a multi-scale lag-matrix. We define three methods of aggregation of the multi-scale anomaly scores. We evaluate their performance on Yahoo! and Numenta dataset for unsupervised anomaly detection benchmark. To the best of authors' knowledge, this is t…
Norwegian University of Science and Technology（挪威科技大学）；Simula Research Laboratory（Simula研究实验室）
During the past decade, many anomaly detection approaches have been introduced in different fields such as network monitoring, fraud detection, and intrusion detection. However, they require understanding of data pattern and often need a long off-line period to build a model or network for the target data. Providing real-time and proactive anomaly detection for streaming time series without human intervention and domain knowledge is highly valuable since it greatly reduces human effort and enables appropriate countermeasures to be undertaken before a disastrous damage, failure, or other harmfu…
This paper introduces a new methodology for detecting anomalies in time series data, with a primary application to monitoring the health of (micro-) services and cloud resources. The main novelty in our approach is that instead of modeling time series consisting of real values or vectors of real values, we model time series of probability distributions over real values (or vectors). This extension to time series of probability distributions allows the technique to be applied to the common scenario where the data is generated by requests coming in to a service, which is then aggregated at a fix…
Quantmetry（Quantmetry公司）；ENSIIE（法国国立高等工业工程学校）；Université Paris Saclay（巴黎萨克雷大学）
We propose a robust principal component analysis (RPCA) framework to recover low-rank and sparse matrices from temporal observations. We develop an online version of the batch temporal algorithm in order to process larger datasets or streaming data. We empirically compare the proposed approaches with different RPCA frameworks and show their effectiveness in practical situations.
In this paper, we use variational recurrent neural network to investigate the anomaly detection problem on graph time series. The temporal correlation is modeled by the combination of recurrent neural network (RNN) and variational inference (VI), while the spatial information is captured by the graph convolutional network. In order to incorporate external factors, we use feature extractor to augment the transition of latent variables, which can learn the influence of external factors. With the target function as accumulative ELBO, it is easy to extend this model to on-line method. The experime…
The anomaly detection of time series is a hotspot of time series data mining. The own characteristics of different anomaly detectors determine the abnormal data that they are good at. There is no detector can be optimizing in all types of anomalies. Moreover, it still has difficulties in industrial production due to problems such as a single detector can't be optimized at different time windows of the same time series. This paper proposes an adaptive model based on time series characteristics and selecting appropriate detector and run-time parameters for anomaly detection, which is called ATSD…
North Carolina State University（北卡罗来纳州立大学）；Intuit Inc.（财捷公司）
Robust anomaly detection is a requirement for monitoring complex modern systems with applications such as cyber-security, fraud prevention, and maintenance. These systems generate multiple correlated time series that are highly seasonal and noisy. This paper presents a novel unsupervised deep learning architecture for multivariate time series anomaly detection, called Robust Seasonal Multivariate Generative Adversarial Network (RSM-GAN). It extends recent advancements in GANs with adoption of convolutional-LSTM layers and an attention mechanism to produce state-of-the-art performance. We condu…
Low Rank Transformer for Multivariate Time Series Anomaly Detection and Localization
KIOS Research and Innovation Center of Excellence（KIOS研究与创新中心卓越研究所）；Department of Electrical and Computer Engineering, University of Cyprus（电子与计算机工程系，塞浦路斯大学）；Department of Mathematics and Statistics, University of Cyprus（数学与统计学系，塞浦路斯大学）
Technische Universität München（慕尼黑工业大学）；fortiss（福蒂斯研究所）
Approximate variational inference has shown to be a powerful tool for modeling unknown complex probability distributions. Recent advances in the field allow us to learn probabilistic models of sequences that actively exploit spatial and temporal structure. We apply a Stochastic Recurrent Network (STORN) to learn robot time series data. Our evaluation demonstrates that we can robustly detect anomalies both off- and on-line.
Anomaly detection on time series data is increasingly common across various industrial domains that monitor metrics in order to prevent potential accidents and economic losses. However, a scarcity of labeled data and ambiguous definitions of anomalies can complicate these efforts. Recent unsupervised machine learning methods have made remarkable progress in tackling this problem using either single-timestamp predictions or time series reconstructions. While traditionally considered separately, these methods are not mutually exclusive and can offer complementary perspectives on anomaly detectio…
Time series anomaly detection has been a perennially important topic in data science, with papers dating back to the 1950s. However, in recent years there has been an explosion of interest in this topic, much of it driven by the success of deep learning in other domains and for other time series tasks. Most of these papers test on one or more of a handful of popular benchmark datasets, created by Yahoo, Numenta, NASA, etc. In this work we make a surprising claim. The majority of the individual exemplars in these datasets suffer from one or more of four flaws. Because of these four flaws, we be…
A major concern when dealing with financial time series involving a wide variety ofmarket risk factors is the presence of anomalies. These induce a miscalibration of the models used toquantify and manage risk, resulting in potential erroneous risk measures. We propose an approachthat aims to improve anomaly detection in financial time series, overcoming most of the inherentdifficulties. Valuable features are extracted from the time series by compressing and reconstructingthe data through principal component analysis. We then define an anomaly score using a feedforwardneural network. A time ser…
