Time-series Anomaly Detection based on Difference Subspace between Signal Subspaces
This paper proposes a new method for anomaly detection in time-series data by incorporating the concept of difference subspace into the singular spectrum analysis (SSA). The key idea is to monitor slight temporal variations of the difference subspace between two signal subspaces corresponding to the past and present time-series data, as anomaly score. It is a natural generalization of the conventional SSA-based method which measures the minimum angle between the two signal subspaces as the degree of changes. By replacing the minimum angle with the difference subspace, our method boosts the performance while using the SSA-based framework as it can capture the whole structural difference between the two subspaces in its magnitude and direction. We demonstrate our method's effectiveness through performance evaluations on public time-series datasets.
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