Generic and Scalable Framework for Automated Time-series Anomaly Detection

This paper introduces a generic and scalable framework for automated anomaly detection on large scale time-series data. Early detection of anomalies plays a key role in maintaining consistency of person's data and protects corporations against malicious attackers. Current state of the art anomaly detection approaches suffer from scalability, use-case restrictions, difficulty of use and a large number of false positives. Our system at Yahoo, EGADS, uses a collection of anomaly detection and forecasting models with an anomaly filtering layer for accurate and scalable anomaly detection on time series. We compare our approach against other anomaly detection systems on real and synthetic data with varying time-series characteristics. We found that our framework allows for 50-60% improvement in precision and recall for a variety of use-cases. Both the data and the framework are being open-sourced. The open-sourcing of the data, in particular, represents the first of its kind effort to establish the standard benchmark for anomaly detection.