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arXiv · 2008.05788

Statistical Evaluation of Anomaly Detectors for Sequences

Erik Scharwächter·Emmanuel Müller
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Abstract

Although precision and recall are standard performance measures for anomaly detection, their statistical properties in sequential detection settings are poorly understood. In this work, we formalize a notion of precision and recall with temporal tolerance for point-based anomaly detection in sequential data. These measures are based on time-tolerant confusion matrices that may be used to compute time-tolerant variants of many other standard measures. However, care has to be taken to preserve interpretability. We perform a statistical simulation study to demonstrate that precision and recall may overestimate the performance of a detector, when computed with temporal tolerance. To alleviate this problem, we show how to obtain null distributions for the two measures to assess the statistical significance of reported results.

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BibTeXRIS

Erik Scharwächter, Emmanuel Müller. 2020-08-13. Statistical Evaluation of Anomaly Detectors for Sequences. https://arxiv.org/abs/2008.05788

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