Evaluation metrics for anomaly detection algorithms in time-series

Time-series are ordered sequences of discrete-time data. Due to their temporal dimension, anomaly detection techniques used in time-series have to take into consideration time correlations and other time-related particularities. Generally, in order to evaluate the quality of an anomaly detection technique, the confusion matrix and its derived metrics such as precision and recall are used. These metrics, however, do not take this temporal dimension into consideration. In this paper, we propose three metrics that can be used to evaluate the quality of a classification, while accounting for the temporal dimension found in time-series data.