Towards Unbiased Evaluation of Time-series Anomaly Detector

Time series anomaly detection (TSAD) is an evolving area of research motivated by its critical applications, such as detecting seismic activity, sensor failures in industrial plants, predicting crashes in the stock market, and so on. Across domains, anomalies occur significantly less frequently than normal data, making the F1-score the most commonly adopted metric for anomaly detection. However, in the case of time series, it is not straightforward to use standard F1-score because of the dissociation between ‘time points’ and ‘time events’. To accommodate this, anomaly predictions are adjusted, called as point adjustment (PA), before the F<inf xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">1</inf>-score evaluation. However, these adjustments are heuristics-based, and biased towards true positive detection, resulting in over-estimated detector performance. In this work, we propose an alternative adjustment protocol called "Balanced point adjustment" (BA). It addresses the limitations of existing point adjustment methods and provides guarantees of fairness backed by axiomatic definitions of TSAD evaluation. Code and implementation details: https://github.com/summukhe/balanced_f1score.