Anomaly Detection at Scale: The Case for Deep Distributional Time Series Models

This paper introduces a new methodology for detecting anomalies in time series data, with a primary application to monitoring the health of (micro-) services and cloud resources. The main novelty in our approach is that instead of modeling time series consisting of real values or vectors of real values, we model time series of probability distributions. This extension allows the technique to be applied to the common scenario where the data is generated by requests coming in to a service, which is then aggregated at a fixed temporal frequency. We show the superior accuracy of our method on synthetic and public real-world data.