Online false discovery rate control for anomaly detection in time series

no code implementations • NeurIPS 2021 • Quentin Rebjock, Barış Kurt, Tim Januschowski, Laurent Callot

The methods proposed in this article overcome short-comings of previous FDRC rules in the context of anomaly detection, in particular ensuring that power remains high even when the alternative is exceedingly rare (typical in anomaly detection) and the test statistics are serially dependent (typical in time series).

Anomaly Detection Time Series +1