Graph Structure Learning via Transfer Entropy for Multivariate Time Series Anomaly Detection

Abstract

Multivariate time series anomaly detection (MTAD) poses a challenge due to temporal and feature dependencies. The critical aspects of enhancing the detection performance lie in accurately capturing the dependencies between variables within the sliding window and effectively leveraging them. Existing studies rely on domain knowledge to pre-set the window size, and overlook the strength of dependencies while calculating direction based on variable similarity. This paper proposes GSLTE, a graph structure learning method for MTAD. GSLTE employs Fast Fourier Transform to conduct iterative segmentation of the whole series, selecting the dominant Fourier frequency as the window size for each subsequence within the minimum interval. GSLTE quantifies the direction and strength of the dependencies based on variable-lag transfer entropy which is achieved through Dynamic Time Warping method to learn asymmetric links between variables. Extensive experiments show that GNN-based MTAD methods applying GSLTE can further improve anomaly detection performance while outperforming state-of-the-art competitors.