Drift-aware Anomaly Detection for Non-stationary Time Series

Anomaly detection of time series is vital in various scenarios with explosively growing time series data. However, the non-stationary time series degrade the performance of current anomaly detection methods, where data drift causes unpredictable changes. This paper proposes a Drift-aware Anomaly Detection (DAD) method for detecting anomalies in non-stationary time series. DAD adopts a self-attention mechanism to learn an embedding, distinguishing the anomaly embeddings from the normal embeddings. Next, the KL divergence calculates the drift deviation between two data segments at adjacent periods. Then, the drift deviation module combined with the latent vector which is used to reconstruct the original vector. During the encoding stage of the time series, the latent code is modeled using different Gaussian mixture distributions and the data reconstruction error at each time tick is regarded as an anomaly metric. Furthermore, we propose a new metric to measure the degree of drift deviation for a dataset used for a fair experiment comparison. Experimental results on several public datasets and a newly collected sensor dataset demonstrate that for the non-stationary time series anomaly detection task, DAD outperforms state-of-the-art anomaly detection models up to 11.5% on the F₁ score.