Conformal k-NN Anomaly Detector for Univariate Data Streams
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Publication:143591
DOI10.48550/ARXIV.1706.03412arXiv1706.03412MaRDI QIDQ143591FDOQ143591
Authors: Vladislav Ishimtsev, Ivan Nazarov, Alexander Bernstein, Evgeny Burnaev 
Publication date: 11 June 2017
Abstract: 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.
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