Correlation-aware Spatial-Temporal Graph Learning for Multivariate Time-series Anomaly Detection

TL;DR

This paper introduces CST-GL, a novel correlation-aware spatial-temporal graph learning method that explicitly models pairwise variable correlations and long-range dependencies for improved multivariate time-series anomaly detection.

Contribution

It proposes a new graph neural network framework that captures variable correlations and temporal dependencies, enhancing anomaly detection accuracy and enabling early detection.

Findings

Effective anomaly detection across various datasets

Improved early detection capabilities

Outperforms existing methods in accuracy

Abstract

Multivariate time-series anomaly detection is critically important in many applications, including retail, transportation, power grid, and water treatment plants. Existing approaches for this problem mostly employ either statistical models which cannot capture the non-linear relations well or conventional deep learning models (e.g., CNN and LSTM) that do not explicitly learn the pairwise correlations among variables. To overcome these limitations, we propose a novel method, correlation-aware spatial-temporal graph learning (termed CST-GL), for time series anomaly detection. CST-GL explicitly captures the pairwise correlations via a multivariate time series correlation learning module based on which a spatial-temporal graph neural network (STGNN) can be developed. Then, by employing a graph convolution network that exploits one- and multi-hop neighbor information, our STGNN component can encode rich spatial information from complex pairwise dependencies between variables. With a temporal module that consists of dilated convolutional functions, the STGNN can further capture long-range dependence over time. A novel anomaly scoring component is further integrated into CST-GL to estimate the degree of an anomaly in a purely unsupervised manner. Experimental results demonstrate that CST-GL can detect anomalies effectively in general settings as well as enable early detection across different time delays.