DeepFIB: Self-Imputation for Time Series Anomaly Detection

• URL: http://arxiv.org/abs/2112.06247v1
• Date: Sun, 12 Dec 2021 14:28:06 GMT
• Title: DeepFIB: Self-Imputation for Time Series Anomaly Detection
• Authors: Minhao Liu, Zhijian Xu, Qiang Xu
• Abstract summary: Time series anomaly detection (AD) plays an essential role in various applications, e.g., fraud detection in finance and healthcare monitoring. We propose a novel self-supervised learning technique for AD in time series, namely emphDeepFIB. We show that DeepFIB outperforms state-of-the-art methods by a large margin, achieving up to $65.2%$ relative improvement in F1-score.
• Score: 5.4921159672644775
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Time series (TS) anomaly detection (AD) plays an essential role in various applications, e.g., fraud detection in finance and healthcare monitoring. Due to the inherently unpredictable and highly varied nature of anomalies and the lack of anomaly labels in historical data, the AD problem is typically formulated as an unsupervised learning problem. The performance of existing solutions is often not satisfactory, especially in data-scarce scenarios. To tackle this problem, we propose a novel self-supervised learning technique for AD in time series, namely \emph{DeepFIB}. We model the problem as a \emph{Fill In the Blank} game by masking some elements in the TS and imputing them with the rest. Considering the two common anomaly shapes (point- or sequence-outliers) in TS data, we implement two masking strategies with many self-generated training samples. The corresponding self-imputation networks can extract more robust temporal relations than existing AD solutions and effectively facilitate identifying the two types of anomalies. For continuous outliers, we also propose an anomaly localization algorithm that dramatically reduces AD errors. Experiments on various real-world TS datasets demonstrate that DeepFIB outperforms state-of-the-art methods by a large margin, achieving up to $65.2\%$ relative improvement in F1-score.

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