Correlation-Aware Reconstruction for Multivariate Time Series Anomaly Detection

Md. Johir Raihan, Zahra Zamanzadeh Darban, Yueyang Liu, Flora D. Salim, Levin Kuhlmann +1

Reconstruction-based detectors for multivariate time series anomaly detection typically learn a single entangled representation of normal behavior and flag anomalies based on reconstruction error. However, real-world anomalies are not only isolated spikes in a single channel but also disruptions in the relationships between channels, where each sensor individually appears normal, but their joint behavior deviates from the norm. Because these models compress both temporal evolution and inter-channel structure into this single space, they lack an explicit mechanism to isolate such inter-channel dependencies from normal temporal dependencies, leading to lower detection rates for cross-channel anomalies. We propose CARMA (Correlation-Aware Reconstruction for Multivariate Time Series Anomaly Detection), which is a reconstruction-based variational autoencoder with two complementary latent spaces: a temporal latent that captures sequential dynamics, and a correlation latent that is trained to reconstruct the window's pairwise Pearson correlations. Both representations are fused in the signal decoder, and anomalies are detected from the reconstruction error. We evaluate CARMA on the…