Retrieval Over Training: Similarity search-based Model Selection for Time Series Anomaly Detection

Anomaly detection is a fundamental task for time-series analytics, with important implications for the downstream performance of many applications. Despite the large number of anomaly detection methods proposed in the literature, recent benchmark studies have shown that no single detector performs best across highly heterogeneous time series. Therefore, a practical and scalable solution is to develop a model-selection method that, for a given time series, selects the anomaly detector most likely to perform well. Nevertheless, the model selection approach proposed in the literature suffers from a significant drop in accuracy when applied in Out-of-Distribution (OOD) settings. In this paper, we tackle the aforementioned limitation and propose \textbf{\textsc{RAMSAD}}, a train-free, retrieval-based framework for model selection in time-series anomaly detection. Given a new time series, our method queries a knowledge base of previously observed instances, retrieves the top-${k}$ most similar series, and transfers detector recommendations from their performance profiles. The framework can operate with standard similarity measures as well as embedding-based representations. Overall, we demonstrate that similarity-based retrieval constitutes a strong and efficient foundation for model selection in time-series anomaly detection.