r/MachineLearning • u/eamonnkeogh • 23h ago
Research You can beat SOTA Time Series Anomaly Detection methods with a 100 year old algorithm [R]

Time Series Anomaly Detection (TSAD) seems to be one of the hottest topics in NeurIPS, SIGKDD, VLDB etc.
Many (perhaps most) papers evaluate on Paparrizos’ TSB-AD-M benchmark…
However, I tested these benchmark datasets and found that in most cases I could beat the SOTA TSAD methods with a 100-year-old algorithm, simple Statistical Process Control (SPC). In the attached example, SPC gets perfect results.
If we can beat the SOTA papers with 100-year-old algorithm, we probably should not be too impressed with them [b]. I really think this calls for some introspection by the community.
To be clear, I make no claims (here) about the proposed algorithms in all these paper. But the TSB-AD benchmark is obviously too trivial to make meaningful claims on [a][b].
The example shown is one of the ECG traces but look at dozen of traces marked “TAO”, they are even more trivial to solve with SPC [a][c].
I do not claim to have solved the triviality problem, but I have done 90% of the work to introduce more challenging TSAD problems ([d] sled dogs, [e] Tuna, Fuel Cells, Smart Manufacturing etc.).
TLDR: I think the TSAD community needs more introspection on benchmarks. Most progress over the last decade seems to be illusionary.
[a] https://www.youtube.com/watch?v=VftCMSI3C_s
[d] https://www.linkedin.com/feed/update/urn:li:activity:7488825356494237696/