Anomaly Detection in Time Series Data Based on Holt-Winters Method

University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

Abstract: In today's world the amount of collected data increases every day, this is a trend which is likely to continue. At the same time the potential value of the data does also increase due to the constant development and improvement of hardware and software. However, in order to gain insights, make decisions or train accurate machine learning models we want to ensure that the data we collect is of good quality. There are many definitions of data quality, in this thesis we focus on the accuracy aspect. One method which can be used to ensure accurate data is to monitor for and alert on anomalies. In this thesis we therefore suggest a method which, based on historic values, is able to detect anomalies in time series as new values arrive. The method consists of two parts, forecasting the next value in the time series using Holt-Winters method and comparing the residual to an estimated Gaussian distribution. The suggested method is evaluated in two steps. First, we evaluate the forecast accuracy for Holt-Winters method using different input sizes. In the second step we evaluate the performance of the anomaly detector when using different methods to estimate the variance of the distribution of the residuals. The results indicate that the suggested method works well most of the time for detection of point anomalies in seasonal and trending time series data. The thesis also discusses some potential next steps which are likely to further improve the performance of this method.

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