arXiv:2502.13318cs.LG2025-02被引 29

提出新评估方法VUS,更准确衡量时序异常检测性能。

VUS: Effective and Efficient Accuracy Measures for Time-Series Anomaly Detection

  • 设计不依赖阈值的VUS评估指标,适配区间型异常
  • 在噪声、错位等条件下,比传统指标更稳定可靠
  • 适合研究时序异常检测算法的学者与工业应用者

异常检测(AD)是时间序列分析中的基础任务,对下游应用有重要影响。与仅关注单点异常的其他领域不同,时序异常检测还需识别跨多个观测值的区间型异常。然而,当前普遍使用基于点的评估指标(如精确率、召回率、F1),通过设定阈值将异常分数离散化为标签,这在处理区间型异常时存在固有缺陷,且评估结果易受指标选择影响。尽管该领域已研究超过六十年,但尚无大规模系统性定量与定性分析。本文全面评估了多种时序异常检测评价指标在噪声、错位及不同异常占比下的鲁棒性。结果表明,不依赖阈值的指标(如AUC-ROC、AUC-PR)更适用于时序异常检测。基于此,我们首次扩展了基于AUC的指标以支持区间异常,并提出全新的参数无关、阈值无关指标——体积曲线下面积(VUS)。同时引入两种优化实现,显著降低计算耗时。实验表明,四种新指标在评估时序异常检测方法质量方面更具鲁棒性。

原文摘要 · Abstract (English)

Anomaly detection (AD) is a fundamental task for time-series analytics with important implications for the downstream performance of many applications. In contrast to other domains where AD mainly focuses on point-based anomalies (i.e., outliers in standalone observations), AD for time series is also concerned with range-based anomalies (i.e., outliers spanning multiple observations). Nevertheless, it is common to use traditional point-based information retrieval measures, such as Precision, Recall, and F-score, to assess the quality of methods by thresholding the anomaly score to mark each point as an anomaly or not. However, mapping discrete labels into continuous data introduces unavoidable shortcomings, complicating the evaluation of range-based anomalies. Notably, the choice of evaluation measure may significantly bias the experimental outcome. Despite over six decades of attention, there has never been a large-scale systematic quantitative and qualitative analysis of time-series AD evaluation measures. This paper extensively evaluates quality measures for time-series AD to assess their robustness under noise, misalignments, and different anomaly cardinality ratios. Our results indicate that measures producing quality values independently of a threshold (i.e., AUC-ROC and AUC-PR) are more suitable for time-series AD. Motivated by this observation, we first extend the AUC-based measures to account for range-based anomalies. Then, we introduce a new family of parameter-free and threshold-independent measures, Volume Under the Surface (VUS), to evaluate methods while varying parameters. We also introduce two optimized implementations for VUS that reduce significantly the execution time of the initial implementation. Our findings demonstrate that our four measures are significantly more robust in assessing the quality of time-series AD methods.

异常检测时序分析评估方法VUS

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