Actually the plural of anecdote
is data. Sort of.
"Anecdote" is from Greek: an (not) ec (out) dote ("given;" the past participle of Greek didónai, meaning "to give"). Taken all together it means "unpublished item" ("not given out").
And data
is are the plural of "datum" (past participle of Latin "dare", pronounced dah-ray, meaning "to give").
So the "dote" part of anecdote means "a given thing" and is indeed the singular of "data" which means "given things."
/ an-ec part means "what a terrible thing to lose"