Conformal k-NN Anomaly Detector for Univariate Data Streams

06/11/2017

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by   Vladislav Ishimtsev, et al.

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Anomalies in time-series data give essential and often actionable information in many applications. In this paper we consider a model-free anomaly detection method for univariate time-series which adapts to non-stationarity in the data stream and provides probabilistic abnormality scores based on the conformal prediction paradigm. Despite its simplicity the method performs on par with complex prediction-based models on the Numenta Anomaly Detection benchmark and the Yahoo! S5 dataset.