Imputation-based Time-Series Anomaly Detection with Conditional Weight-Incremental Diffusion Models

Chunjing Xiao, Zehua Gou, Wenxin Tai, Kunpeng Zhang, Fan Zhou

Abstract: Existing anomaly detection models for time series are primarily trained with normal-point-dominant data and would become ineffective when anomalous points intensively occur in certain episodes. To solve this problem, we propose a new approach, called DiffAD, from the perspective of time series imputation. Unlike previous prediction- and reconstruction-based methods that adopt either partial or complete data as observed values for estimation, DiffAD uses a density ratio-based strategy to select normal observations flexibly that can easily adapt to the anomaly concentration scenarios. To alleviate the model bias problem in the presence of anomaly concentration, we design a new denoising diffusion-based imputation method to enhance the imputation performance of missing values with conditional weight-incremental diffusion, which can preserve the information of observed values and substantially improves data generation quality for stable anomaly detection. Besides, we customize a multi-scale state space model to capture the long-term dependencies across episodes with different anomaly patterns. Extensive experimental results on real-world datasets show that DiffAD performs better than state-of-the-art benchmarks.