Anomaly Detection in Time Series: A Comprehensive Evaluation

Detecting anomalous subsequences in time series data is an important task in areas ranging from manufacturing processes over finance applications to health care monitoring. An anomaly can indicate important events, such as production faults, delivery bottlenecks, system defects, or heart flicker, and is therefore of central interest. Because time series are often large and exhibit complex patterns, data scientists have developed various specialized algorithms for the automatic detection of such anomalous patterns. The number and variety of anomaly detection algorithms has grown significantly in the past and, because many of these solutions have been developed independently and by different research communities, there is no comprehensive study that systematically evaluates and compares the different approaches. For this reason, choosing the best detection technique for a given anomaly detection task is a difficult challenge. This comprehensive, scientific study carefully evaluates most state-of-the-art anomaly detection algorithms. We collected and re-implemented 71 anomaly detection algorithms from different domains and evaluated them on 976 time series datasets. The algorithms have been selected from different algorithm families and detection approaches to represent the entire spectrum of anomaly detection techniques. In the paper, we provide a concise overview of the techniques and their commonalities; we evaluate their individual strengths and weaknesses and, thereby, consider factors, such as effectiveness, efficiency, and robustness. Our experimental results should ease the algorithm selection problem and open up new research directions.