Statistical Evaluation of Anomaly Detectors for Sequences

Understand

Although precision and recall are standard performance measures for anomaly detection, their statistical properties in sequential detection settings are poorly understood.

• In this work, we formalize a notion of precision and recall with temporal tolerance for point-based anomaly detection in sequential data.
• These measures are based on time-tolerant confusion matrices that may be used to compute time-tolerant variants of many other standard measures.
• However, care has to be taken to preserve interpretability.