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Detecting System Anomalies in Multivariate Time Series with Information Transfer and Random Walk

Detecting major system anomalies with observed multivariate time series requires not only the characteristics of each time series but also the status of the entire time series dynamics. Therefore, we propose a method that can detect substantial anomalies by generating a transfer network and an influence network from a multivariate time series. To form a transfer network, each vertex represents a single time series. Each edge indicates the strength of the information flow between each pair of time series using transfer entropy. With the transfer network, we exploit the random walk approach to calculate the affinity score between two vertices and create an influence network that reflects both the direct and indirect influences. In our experiment, we show the efficacy of the proposed method using simple synthetic time series networks and the real data set such as world stock indices and key performance indicators of the SAP HANA in-memory database system.