Anomaly detection on streamed data

We introduce powerful but simple methodology for identifying anomalous observations against a corpus of `normal' observations. All data are observed through a vector-valued feature map. Our approach depends on the choice of corpus and that feature map but is invariant to affine transformations of the map and has no other external dependencies, such as choices of metric; we call it conformance. Applying this method to (signatures) of time series and other types of streamed data we provide an effective methodology of broad applicability for identifying anomalous complex multimodal sequential data. We demonstrate the applicability and effectiveness of our method by evaluating it against multiple data sets. Based on quantifying performance using the receiver operating characteristic (ROC) area under the curve (AUC), our method yields an AUC score of 98.9\% for the PenDigits data set; in a subsequent experiment involving marine vessel traffic data our approach yields an AUC score of 89.1\%. Based on comparison involving univariate time series from the UEA \& UCR time series repository with performance quantified using balanced accuracy and assuming an optimal operating point, our approach outperforms a state-of-the-art shapelet method for 19 out of 28 data sets.