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arXiv · 1706.03412

Conformal k-NN Anomaly Detector for Univariate Data Streams

Vladislav Ishimtsev·Ivan Nazarov·Alexander Bernstein·Evgeny Burnaev
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Abstract

Anomalies in time-series data give essential and often actionable information in many applications. In this paper we consider a model-free anomaly detection method for univariate time-series which adapts to non-stationarity in the data stream and provides probabilistic abnormality scores based on the conformal prediction paradigm. Despite its simplicity the method performs on par with complex prediction-based models on the Numenta Anomaly Detection benchmark and the Yahoo! S5 dataset.

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Vladislav Ishimtsev, Ivan Nazarov, Alexander Bernstein, Evgeny Burnaev. 2017-06-11. Conformal k-NN Anomaly Detector for Univariate Data Streams. https://arxiv.org/abs/1706.03412

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