STGAT-MAD : Spatial-Temporal Graph Attention Network for Multivariate Time Series Anomaly Detection

Anomaly detection in multivariate time series data is challenging due to complex temporal and feature correlations. This paper proposes a novel unsupervised multi-scale stacked spatial-temporal graph attention network for multivariate time series anomaly \textbf{d}etection (STGAT-MAD). The core of our framework is to coherently capture the feature and temporal correlations among multivariate time-series data by stackable STGAT networks. Meanwhile, a multi-scale input network is exploited to capture the temporal correlations in different time-scales. Besides, a new dataset derived from a real-world wind farm is built and released for multivariate time series anomaly detection. Experiments on the proprietary dataset and three public datasets show that our method significantly outperforms existing baseline approaches, and provides interpretability for anomaly location.