Explainable Time Series Anomaly Detection using Masked Latent Generative Modeling

21 Nov 2023  ·  Daesoo Lee, Sara Malacarne, Erlend Aune ·

We present a novel time series anomaly detection method that achieves excellent detection accuracy while offering a superior level of explainability. Our proposed method, TimeVQVAE-AD, leverages masked generative modeling adapted from the cutting-edge time series generation method known as TimeVQVAE. The prior model is trained on the discrete latent space of a time-frequency domain. Notably, the dimensional semantics of the time-frequency domain are preserved in the latent space, enabling us to compute anomaly scores across different frequency bands, which provides a better insight into the detected anomalies. Additionally, the generative nature of the prior model allows for sampling likely normal states for detected anomalies, enhancing the explainability of the detected anomalies through counterfactuals. Our experimental evaluation on the UCR Time Series Anomaly archive demonstrates that TimeVQVAE-AD significantly surpasses the existing methods in terms of detection accuracy and explainability. We provide our implementation on GitHub: \url{https://github.com/ML4ITS/TimeVQVAE-AnomalyDetection}.

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Datasets


Task Dataset Model Metric Name Metric Value Global Rank Result Benchmark
Time Series Anomaly Detection UCR Anomaly Archive TimeVQVAE-AD accuracy 0.708 # 1
Time Series Anomaly Detection UCR Anomaly Archive TS-TCC-AD accuracy 0.006 # 16
Time Series Anomaly Detection UCR Anomaly Archive DAGMM accuracy 0.061 # 15
Time Series Anomaly Detection UCR Anomaly Archive Deep SVDD accuracy 0.076 # 14
Time Series Anomaly Detection UCR Anomaly Archive OC-SVM accuracy 0.088 # 13
Time Series Anomaly Detection UCR Anomaly Archive TranAD accuracy 0.19 # 12
Time Series Anomaly Detection UCR Anomaly Archive LSTM-VAE accuracy 0.198 # 11
Time Series Anomaly Detection UCR Anomaly Archive AE accuracy 0.236 # 10
Time Series Anomaly Detection UCR Anomaly Archive USAD accuracy 0.276 # 9
Time Series Anomaly Detection UCR Anomaly Archive SR-CNN accuracy 0.3 # 8
Time Series Anomaly Detection UCR Anomaly Archive Convolutional AE accuracy 0.352 # 7
Time Series Anomaly Detection UCR Anomaly Archive IF accuracy 0.376 # 6
Time Series Anomaly Detection UCR Anomaly Archive RCF accuracy 0.387 # 5
Time Series Anomaly Detection UCR Anomaly Archive Matrix Profile SCRIMP accuracy 0.416 # 4
Time Series Anomaly Detection UCR Anomaly Archive MDI accuracy 0.47 # 3
Time Series Anomaly Detection UCR Anomaly Archive Matrix Profile STUMPY accuracy 0.512 # 2

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