GCFormer: Granger Causality based Attention Mechanism for Multivariate Time Series Anomaly Detection
Abstract: Multivariate time series anomaly detection, crucial for ensuring the safety of real-world systems, primarily focuses on extracting characteristics from time series under normal condition, and identifying potential anomalies throughout the evaluation process. Recent studies have achieved fruitful progress through mining the spatio-temporal relationships from multivariate time series, however, these approaches mostly neglect the latency among series which could lead to higher false alarm. Granger causality presents a promising solution to extract these inherent time-lagged relationships. Nonetheless, the intricate and dynamic relationships among numerous time series in real-world systems surpass the ability of linear Granger causality. To address this, we extend the linear Granger causality and propose the Granger Causal Former (GCFormer), a novel approach that leverages attention mechanisms to learn the inherent causal spatio-temporal relationships between historical and current timestamps across multiple time series. Specifically, GCFormer develops a Spatio-Mask (SM) to select the top-k most relevant series and a Temporal-Mask (TM) to concentrate attention on more recent historical timestamps. Moreover, to mitigate overfitting and ensure a smooth training process, GCFormer introduces an adjust top-k method and a TM penalty term. We evaluated GCFormer on four real-world benchmark datasets, demonstrating its superior performance over state-of-the-art approaches. Further analysis and a case study highlight the model’s novelty and interpretability.
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