Detection and Characterization of Anomalies in Multivariate Time Series.

Anomaly detection in multivariate time series is an important data mining task with applications to ecosystem modeling, network traffic monitoring, medical diagnosis, and other domains. This paper presents a robust algorithm for detecting anomalies in noisy multivariate time series data by employing a kernel matrix alignment method to capture the dependence relationships among variables in the time series. Anomalies are found by performing a random walk traversal on the graph induced by the aligned kernel matrix. We show that the algorithm is flexible enough to handle different types of time series anomalies including subsequence-based and local anomalies. Our framework can also be used to characterize the anomalies found in a target time series in terms of the anomalies present in other time series. We have performed extensive experiments to empirically demonstrate the effectiveness of our algorithm. A case study is also presented to illustrate the ability of the algorithm to detec...

• Type: Conference
• Year: 2009
• Where: SDM
• Authors: Christopher Potter, Haibin Cheng, Pang-Ning Tan, Steven A. Klooster
• Keywords: Computer Science, Multivariate Time Series, SDM 2009, Target Time Series, Time Series Data