# Evaluation Strategy of Time-series Anomaly Detection with Decay Function

arXiv: https://arxiv.org/abs/2305.09691 · HTML: https://mlsanity.com/paper/2305.09691/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 13 of its 27 references that are in the map.
- First posted on arXiv 15 May 2023.

## Builds on (most cited first, 13 of 13)

- [Detecting Spacecraft Anomalies Using LSTMs and Nonparametric Dynamic Thresholding](https://mlsanity.com/paper/1802.04431/) (2018)
- [Anomaly Transformer: Time Series Anomaly Detection with Association Discrepancy](https://mlsanity.com/paper/2110.02642/) (2021)
- [Graph Neural Network-Based Anomaly Detection in Multivariate Time Series](https://mlsanity.com/paper/2106.06947/) (2021)
- [Unsupervised Anomaly Detection via Variational Auto-Encoder for Seasonal KPIs in Web Applications](https://mlsanity.com/paper/1802.03903/) (2018)
- [Time-Series Anomaly Detection Service at Microsoft](https://mlsanity.com/paper/1906.03821/) (2019)
- [Current Time Series Anomaly Detection Benchmarks are Flawed and are Creating the Illusion of Progress](https://mlsanity.com/paper/2009.13807/) (2020)
- [Towards a Rigorous Evaluation of Time-series Anomaly Detection](https://mlsanity.com/paper/2109.05257/) (2021)
- [Evaluating Real-time Anomaly Detection Algorithms - the Numenta Anomaly Benchmark](https://mlsanity.com/paper/1510.03336/) (2015)
- [Local Evaluation of Time Series Anomaly Detection Algorithms](https://mlsanity.com/paper/2206.13167/) (2022)
- [Precision and Recall for Time Series](https://mlsanity.com/paper/1803.03639/) (2018)
- [Anomaly Detection with Generative Adversarial Networks for Multivariate Time Series](https://mlsanity.com/paper/1809.04758/) (2018)
- [Unsupervised Model Selection for Time-series Anomaly Detection](https://mlsanity.com/paper/2210.01078/) (2022)
- [Detecting Cyberattacks in Industrial Control Systems Using Convolutional Neural Networks](https://mlsanity.com/paper/1806.08110/) (2018)

## Abstract (arXiv)

Recent algorithms of time-series anomaly detection have been evaluated by applying a Point Adjustment (PA) protocol. However, the PA protocol has a problem of overestimating the performance of the detection algorithms because it only depends on the number of detected abnormal segments and their size. We propose a novel evaluation protocol called the Point-Adjusted protocol with decay function (PAdf) to evaluate the time-series anomaly detection algorithm by reflecting the following ideal requirements: detect anomalies quickly and accurately without false alarms. This paper theoretically and experimentally shows that the PAdf protocol solves the over- and under-estimation problems of existing protocols such as PA and PA%K. By conducting re-evaluations of SOTA models in benchmark datasets, we show that the PA protocol only focuses on finding many anomalous segments, whereas the score of the PAdf protocol considers not only finding many segments but also detecting anomalies quickly without delay.