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This paper introduces a novel anomaly detection method for multivariate time-series data using conditional normalizing flows with explicit inductive biases in the latent space. The approach models time-series observations within a discrete-time state-space framework, constraining latent representations to evolve according to prescribed temporal dynamics. By defining anomalies as violations of these latent dynamics and using goodness-of-fit tests, the method achieves reliable anomaly detection even in regions of high observation likelihood.
Ditch likelihood-based anomaly detection: this method maps time-series data to a latent space where anomalies are defined as violations of prescribed temporal dynamics, enabling more robust detection.
Deep generative models for anomaly detection in multivariate time-series are typically trained by maximizing data likelihood. However, likelihood in observation space measures marginal density rather than conformity to structured temporal dynamics, and therefore can assign high probability to anomalous or out-of-distribution samples. We address this structural limitation by relocating the notion of anomaly to a prescribed latent space. We introduce explicit inductive biases in conditional normalizing flows, modeling time-series observations within a discrete-time state-space framework that constrains latent representations to evolve according to prescribed temporal dynamics. Under this formulation, expected behavior corresponds to compliance with a specified distribution over latent trajectories, while anomalies are defined as violations of these dynamics. Anomaly detection is consequently reduced to a statistically grounded compliance test, such that observations are mapped to latent space and evaluated via goodness-of-fit tests against the prescribed latent evolution. This yields a principled decision rule that remains effective even in regions of high observation likelihood. Experiments on synthetic and real-world time-series demonstrate reliable detection of anomalies in frequency, amplitude, and observation noise, while providing interpretable diagnostics of model compliance.
