A survey of research on anomaly detection for time series

Time series is an important class of temporal data objects and it can be easily obtained from scientific and financial applications, and anomaly detection for time series is becoming a hot research topic recently. This survey tries to provide a structured and comprehensive overview of the research on anomaly detection. In this paper, we have discussed the definition of anomaly and grouped existing techniques into different categories based on the underlying approach adopted by each technique. And for each category, we identify the advantages and disadvantages of the techniques in that category. Then, we provide a briefly discussion on the representative methods recently. Furthermore, we also point out some key issues about multivariate time series anomaly. Finally, some suggestions about anomaly detection are discussed and future research trends are also summarized, which is hopefully beneficial to the researchers of time series and other relative domains.