Probabilistic Forecast Combination for Anomaly Detection in Building Heat Load Time Series
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We consider the problem of automated anomaly detection for building level heat load time series. An anomaly detection model must be applicable to a diverse group of buildings and provide robust results on heat load time series with low signal-to-noise ratios, several seasonalities, and significant exogenous effects. We propose to employ a probabilistic forecast combination approach based on an ensemble of deterministic forecasts in an anomaly detection scheme that classifies observed values based on their probability under a predictive distribution. We show empirically that forecast based anomaly detection provides improved accuracy when employing a forecast combination approach.
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