Conformalized density- and distance-based anomaly detection in time-series data

Evgeny Burnaev; Vladislav Ishimtsev

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arXiv · 1608.04585

Conformalized density- and distance-based anomaly detection in time-series data

Evgeny Burnaev·Vladislav Ishimtsev

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Abstract

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 based on the conformal paradigm.

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Evgeny Burnaev, Vladislav Ishimtsev. 2016-08-16. Conformalized density- and distance-based anomaly detection in time-series data. https://arxiv.org/abs/1608.04585

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