Parameter-Free Search of Time-Series Discord

Time-series discord is widely used in data mining applications to characterize anomalous subsequences in time series. Compared to some other discord search algorithms, the direct search algorithm based on the recurrence plot shows the advantage of being fast and parameter free. The direct search algorithm, however, relies on quasi-periodicity in input time series, an assumption that limits the algorithm's applicability. In this paper, we eliminate the periodicity assumption from the direct search algorithm by proposing a reference function for subsequences and a new sampling strategy based on the reference function. These measures result in a new algorithm with improved efficiency and robustness, as evidenced by our empirical evaluation.