Automated Model Selection for Time-Series Anomaly Detection

• URL: http://arxiv.org/abs/2009.04395v1
• Date: Tue, 25 Aug 2020 07:23:43 GMT
• Title: Automated Model Selection for Time-Series Anomaly Detection
• Authors: Yuanxiang Ying, Juanyong Duan, Chunlei Wang, Yujing Wang, Congrui Huang, Bixiong Xu
• Abstract summary: Many companies need to monitor thousands of temporal signals for their applications and services and require instant feedback and alerts for potential incidents in time. The task is challenging because of the complex characteristics of time-series, which are messy, and often without proper labels. This prohibits training supervised models because of lack of labels and a single model hardly fits different time series. We present an automated model selection framework to automatically find the most suitable detection model with proper parameters for the incoming data.
• Score: 6.396011708581161
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Time-series anomaly detection is a popular topic in both academia and industrial fields. Many companies need to monitor thousands of temporal signals for their applications and services and require instant feedback and alerts for potential incidents in time. The task is challenging because of the complex characteristics of time-series, which are messy, stochastic, and often without proper labels. This prohibits training supervised models because of lack of labels and a single model hardly fits different time series. In this paper, we propose a solution to address these issues. We present an automated model selection framework to automatically find the most suitable detection model with proper parameters for the incoming data. The model selection layer is extensible as it can be updated without too much effort when a new detector is available to the service. Finally, we incorporate a customized tuning algorithm to flexibly filter anomalies to meet customers' criteria. Experiments on real-world datasets show the effectiveness of our solution.

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