Time Series Encodings with Temporal Convolutional Networks

The training of anomaly detection models usually requires labeled data. We present in this work a novel approach for anomaly detection in time series which trains unsupervised using a convolutional approach coupled to an autoencoder framework. After training, only a small amount of labeled data is needed to adjust the anomaly threshold. We show that our new approach outperforms several other state-of-the-art anomaly detection algorithms on a Mackey-Glass (MG) anomaly benchmark.
At the same time our autoencoder is capable of learning interesting representations in latent space. Our new MG anomaly benchmark allows to create an unlimited amount of anomaly benchmark data with steerable difficulty. In this benchmark, the anomalies are well-defined, yet difficult to spot for the human eye.