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.