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Anomaly detection is concerned with identifying data patterns that deviate remarkably from the expected behavior. This is an important research problem, due to its broad set of application domains, from data analysis to e-health, cybersecurity, predictive maintenance, fault prevention, and industrial automation. Herein, we review state-of-the-art methods that may be employed to detect anomalies in the specific area of sensor systems, which poses hard challenges in terms of information fusion, data volumes, data speed, and network/energy efficiency, to mention but the most pressing ones. In this context, anomaly detection is a particularly hard problem, given the need to find computing-energy-accuracy trade-offs in a constrained environment. We taxonomize methods ranging from conventional techniques (statistical methods, time-series analysis, signal processing, etc.) to data-driven techniques (supervised learning, reinforcement learning, deep learning, etc.). We also look at the impact that different architectural environments (Cloud, Fog, Edge) can have on the sensors ecosystem. The review points to the most promising intelligent-sensing methods, and pinpoints a set of interesting open issues and challenges. • Survey and review of anomaly detection techniques for sensor systems. • Conventional vs data-driven techniques for anomaly detection in sensor systems. • Machine learning in the Internet of Things via Cloud, Fog and Edge computing. • Challenges and open issues for intelligent sensing and anomaly detection. [ABSTRACT FROM AUTHOR]