Online change detection techniques in time series: An overview

Time-series change detection has been studied in several fields. From sensor data, engineering systems, medical diagnosis, and financial markets to user actions on a network, huge amounts of temporal data are generated. There is a need for a clear separation between normal and abnormal behaviour of the system in order to investigate causes or forecast change. Characteristics include irregularities, deviations, anomalies, outliers, novelties or surprising patterns. The efficient detection of such patterns is challenging, especially when constraints need to be taken into account, such as the data velocity, volume, limited time for reacting to events, and the details of the temporal sequence. This paper reviews the main techniques for time series change point detection, focusing on online methods. Performance criteria including complexity, time granularity, and robustness is used to compare techniques, followed by a discussion about current challenges and open issues.