Algorithms, Benchmarks, and Evaluation Measures
Recent advances in data collection technology, accompanied by the ever-rising volume and velocity of streaming data, underscore the vital need for time series analytics. In this regard, time-series anomaly detection has been an important activity, entailing various applications in fields such as cyber security, financial markets, law enforcement, and health care. While traditional literature on anomaly detection is centered on statistical measures, the increasing number of machine learning algorithms in recent years call for a structured, general characterization of the research methods for time-series anomaly detection. In this paper, we present a process-centric taxonomy for time-series anomaly detection methods, systematically categorizing traditional statistical approaches and contemporary machine learning techniques. Beyond this taxonomy, we conduct a meta-analysis of the existing literature to identify broad research trends. Given the absence of a one-size-fits-all anomaly detector, we also introduce emerging trends for time-series anomaly detection. Furthermore, we review commonly used evaluation measures and benchmarks, followed by an analysis of benchmark results to provide insights into the impact of different design choices on model performance. Through these contributions, we aim to provide a holistic perspective on time-series anomaly detection and highlight promising avenues for future investigation.
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