OneShotSTL: One-Shot Seasonal-Trend Decomposition For Online Time Series Anomaly Detection And Forecasting

• URL: http://arxiv.org/abs/2304.01506v1
• Date: Tue, 4 Apr 2023 03:35:14 GMT
• Title: OneShotSTL: One-Shot Seasonal-Trend Decomposition For Online Time Series Anomaly Detection And Forecasting
• Authors: Xiao He, Ye Li, Jian Tan, Bin Wu, Feifei Li
• Abstract summary: Seasonal-trend decomposition is one of the most fundamental concepts in time series analysis. OneShotSTL is an efficient and accurate algorithm that can decompose time series online with an update time complexity of O(1).
• Score: 21.841836315237376
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Seasonal-trend decomposition is one of the most fundamental concepts in time series analysis that supports various downstream tasks, including time series anomaly detection and forecasting. However, existing decomposition methods rely on batch processing with a time complexity of O(W), where W is the number of data points within a time window. Therefore, they cannot always efficiently support real-time analysis that demands low processing delay. To address this challenge, we propose OneShotSTL, an efficient and accurate algorithm that can decompose time series online with an update time complexity of O(1). OneShotSTL is more than $1,000$ times faster than the batch methods, with accuracy comparable to the best counterparts. Extensive experiments on real-world benchmark datasets for downstream time series anomaly detection and forecasting tasks demonstrate that OneShotSTL is from 10 to over 1,000 times faster than the state-of-the-art methods, while still providing comparable or even better accuracy.

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