Multi-channel anomaly detection using graphical models.

Anomaly detection in multivariate time-series data is critical for monitoring asset conditions, enabling prompt fault detection and diagnosis to mitigate damage, reduce downtime and enhance safety. Existing literature predominately emphasises temporal dependencies in single-channel data, often overlooking interrelations between features in multivariate time-series data and across multiple channels. This paper introduces G-BOCPD, a novel graphical model-based annotation method designed to automatically detect anomalies in multi-channel multivariate time-series data. To address internal and external dependencies, G-BOCPD proposes a hybridisation of the graphical lasso and expectation maximisation algorithms. This approach detects anomalies in multi-channel multivariate time-series by identifying segments with diverse behaviours and patterns, which are then annotated to highlight variations. The method alternates between estimating the concentration matrix, which represents dependencies between variables, using the graphical lasso algorithm, and annotating segments through a minimal path clustering method for a comprehensive understanding of variations. To demonstrate its effectiveness, G-BOCPD is applied to multichannel time-series obtained from: (i) Diesel Multiple Unit train engines exhibiting faulty behaviours; and (ii) a group of train doors at various degradation stages. Empirical evidence highlights G-BOCPD's superior performance compared to previous approaches in terms of precision, recall and F1-score.