Spatial-Temporal Graph Deviation Neural Networks for Anomaly Detection in Time Series

Abstract Anomaly detection in time series data (e.g., sensor data) is becoming a fundamental research problem that has various applications. Due to the complex inter-sensor relationships, it is challenging to detect anomalous events such as system faults and attacks hidden the high-dimensional time series. Recent advancements in deep learning approaches such as Graph Neural Networks (GNN) have greatly improved anomaly detection performance in time series data. However, existing methods usually use separate components to capture spatial and temporal dependence relationship and ignore the heterogeneities in spatial-temporal data which motivates us to capture them together. In this paper, we propose a novel approach STGDNN (short for Spatial-Temporal Graph Deviation Neural Networks) that learns the spatial-temporal dependence relationship together in structure learning of graph neural networks. In addition, we use the learned spatial-temporal graph structure and attention weights to explain the detected anomalies. The experiments on three real world datasets show our superiority in detection accuracy, anomaly diagnosis, and model interpretation compared with state-of-the-art methods.