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The recent wave of digitalization is characterized by the widespread deployment of sensors in many different environments, e.g., multi-sensor systems represent a critical enabling technology towards full autonomy in industrial scenarios. Sensors usually produce vast amounts of unlabeled data in the form of multivariate time series that may capture normal conditions or anomalies. Multivariate Time Series Anomaly Detection (MTSAD), i.e., the ability to identify normal or irregular operative conditions of a system through the analysis of data from multiple sensors, is crucial in many fields. However, MTSAD is challenging due to the need for simultaneous analysis of temporal (intra-sensor) patterns and spatial (inter-sensor) dependencies. Unfortunately, labeling massive amounts of data is practically impossible in many real-world situations of interest (e.g., the reference ground truth may not be available or the amount of data may exceed labeling capabilities); therefore, robust unsupervised MTSAD is desirable. Recently, advanced techniques in machine learning and signal processing, including deep learning methods, have been developed for unsupervised MTSAD. In this article, we provide an extensive review of the current state of the art with a theoretical background about multivariate time-series anomaly detection. A detailed numerical evaluation of 13 promising algorithms on two publicly available multivariate time-series datasets is presented, with advantages and shortcomings highlighted.
Belay et al. (Mon,) studied this question.