時間序列異常檢測演算法研究？

01-13

論文題目是基於時間序列異常檢測演算法的研究，但是看了很多論文還是無從下手，希望有大神能夠指點一二，感激不盡！
添加：就是在時間序列中查找異常，可以是點異常，也可以是序列異常，這方面的研究是否還可以做，如果可以，我該怎麼做？

取決於所用數據集和技術，關於時間序列異常檢測的資料很多，我給你些做參考吧:

文章/討論

https://blog.twitter.com/2015/introducing-practical-and-robust-anomaly-detection-in-a-time-series

machine learning

clustering - Time series and anomaly detection

Netflix』s Surus Anomaly Detection Project

Anomaly Detection : MachineLearning

數據集/工具

https://yahooresearch.tumblr.com/post/114590420346/a-benchmark-dataset-for-time-series-anomaly

SAX

論文

Assumption-Free Anomaly Detection in Time Series

http://alumni.cs.ucr.edu/~ratana/SSDBM05.pdf

An Improved ARIMA-Based Traffic Anomaly Detection Algorithm for Wireless Sensor Networkshttp://www.hindawi.com/journals/ijdsn/2016/9653230/

Anomaly Detection in Real-Valued Multidimensional Time Series

http://www.ase360.org/bitstream/handle/123456789/56/submission34.pdf?sequence=1isAllowed=y

Network Anomaly Detection Based on Statistical Approach and Time Series Analysis

http://bcmi.sjtu.edu.cn/~huangkai/resource/Network%20Anomaly%20Detection%20Based%20on%20Statistical%20Approach%20and%20Time%20Series%20Analysis.pdf

https://www.cs.unm.edu/~forrest/publications/noveltydetection96.pdf

Non-parametric anomaly detection
in sentiment time series data

https://uu.diva-portal.org/smash/get/diva2:807192/FULLTEXT01.pdf

Multi-Resolution Anomaly Detection for the
Internet

http://stat-or.unc.edu/research/Current%20Reports/techpdf/zhang.zhu.et.al.info.pdf

Anomaly Detection in the WIPER System Using Markov Modulated
Poisson Process

http://www.cse.nd.edu/~dddas/Papers/MMPP_new.pdf

Detection of Outliers in Time Series Data

http://epublications.marquette.edu/cgi/viewcontent.cgi?article=1047context=theses_open

Local Anomaly Detection

http://www.jmlr.org/proceedings/papers/v22/saligrama12/saligrama12.pdf

Detecting Anomalies in a Time Series Database

https://www.cs.umn.edu/sites/cs.umn.edu/files/tech_reports/09-004.pdf

Anomaly detection and prediction of sensors faults in a
refinery using data mining techniques and fuzzy logic

https://umexpert.um.edu.my/file/publication/00005678_85336.pdf

Sensitivity of PCA for Traffic Anomaly Detection

http://ftp.ics.forth.gr/netlab/mobile/Bibliography/LoadBalancing/LB/PCA_Anomaly_Deytection.pdf

MultiResolution Anomaly Detection
Method for Long Range Dependent
Time Series

https://arxiv.org/pdf/0809.1281.pdf

Framework for comparison of
network anomaly detection
algorithms

http://www.fit.vutbr.cz/research/pubs/index.php?file=%2Fpub%2F10070%2Ftr.pdfid=10070

Symbolic time series analysis via wavelet-based partitioning

http://www.mne.psu.edu/ray/journalAsokRay/2006/171RajagopalanRay06.pdf

Finding the Unusual Medical Time Series:
Algorithms and Applications

http://www.cs.cuhk.hk/~adafu/Pub/titb05.pdf

A Framework for Discovering Anomalous Regimes in
Multivariate Time-Series Data with Local Models

http://www.stephenbay.net/papers/darts.pdf

Multivariate Online Anomaly Detection Using
Kernel Recursive Least Squares

http://www.tsp.ece.mcgill.ca/Networks/projects/pdf/ahmed_TechReport06.pdf

Combining Filtering and Statistical Methods for Anomaly Detection

https://www.usenix.org/legacy/event/imc05/tech/full_papers/soule/soule.pdf

Anomaly Detection in Network Traffic Using
Selected Methods of Time Series Analysis

http://www.mecs-press.org/ijcnis/ijcnis-v7-n9/IJCNIS-V7-N9-2.pdf

A Robust Anomaly Detection Technique Using
Combined Statistical Methods

https://hal.archives-ouvertes.fr/hal-00620018/document

Outlier Detection for Temporal Data: A Survey

http://research.microsoft.com/pubs/217054/gupta14_tkde.pdf

Detection of abnormal behavior in trade data
using Wavelets, Kalman Filter and Forward Search

http://publications.jrc.ec.europa.eu/repository/bitstream/JRC72839/lbna25491enn.pdf

Anomaly Detection : A Survey

http://cucis.ece.northwestern.edu/projects/DMS/publications/AnomalyDetection.pdf

RANK BASED ANOMALY DETECTION
ALGORITHMS

http://surface.syr.edu/cgi/viewcontent.cgi?article=1335context=eecs_etd

Mote-based Online Anomaly Detection using
Echo State Networks

http://diku.dk/forskning/Publikationer/tekniske_rapporter/2009/Samlet_teknisk_rapport_09-01.pdf

Anomaly detection from server log
data
A case study

http://www.vtt.fi/inf/pdf/tiedotteet/2009/T2480.pdf

HOT SAX: Finding the Most Unusual Time Series
Subsequence: Algorithms and Applications

http://cs.gmu.edu/~jessica/HOT_SAX_long_ver.pdf

源碼

GitHub - twitter/AnomalyDetection: Anomaly Detection with R

AnomalyDetectionToolbox

GitHub - tadeze/Group-Anomaly-Detection-with-Bayesian-Network

GitHub - mdlima/MonitoringAnomalyDetection: Anomaly Detection for Yuri"s Project

GitHub - NanaKwame/AnomalyAlg: Implementation of Anomaly Detection Algorithm in matlab

GitHub - tsaiJN/Proximity_anomaly_detection: this is a matlab implement of paper "Proximity-Based Anomaly Detection using Sparse Structure Learning" Tsuyoshi et al. 2009

Downloads – John Quinn

教程

http://www.autonlab.org/tutorials/biosurv01.pdf

https://www.siam.org/meetings/sdm13/gupta.pdf

可參考下面兩本書：

Adaptive Filtering and Change Detection

http://www.ue.eti.pg.gda.pl/~wrona/lab_dsp/cw07/MATERIALY/Adaptive%20Filtering%20and%20Change%20Detection%20(2000)(Wiley)(Fredrik%20Gustafsson).pdf

Detection of Abrupt Change - Theory Applications

ftp://ftp.irisa.fr/local/as/mb/k11.pdf

你的問題很大，情況很多，offline detection還是online detection演算法也不一樣。如果是offline的話，把時間序列就看作是一組sample，統計上有些很簡單的做法，例如基於分位數的做法簡單可靠（Box-and-Whisker Plots: Interquartile Ranges and Outliers），也可參考這篇論文的總結：

http://d-scholarship.pitt.edu/7948/1/Seo.pdf。還可以進一步分析一階二階差分里的outlier。

去查白聚山(1998,2003)兩篇關於時間序列突變點的經典文獻。當年Eviews還沒這個功能的時候，我用C實現過。

異常檢測之正態分布這是統計學在異常檢測中的應用