Multi-Resolution Decomposable Diffusion Model for Non-Stationary Time Series Anomaly Detection

Recently, generative models have shown considerable promise in unsupervised time series anomaly detection. Nonetheless, the task of effectively capturing complex temporal patterns and minimizing false alarms becomes increasingly challenging when dealing with non-stationary time series, characterized by continuously fluctuating statistical attributes and joint distributions. To confront these challenges, we underscore the benefits of multi-resolution modeling, which improves the ability to distinguish between anomalies and non-stationary behaviors by leveraging correlations across various resolution scales. In response, we introduce a Multi-Resolution Decomposable Diffusion Model (MODEM), which integrates a coarse-to-fine diffusion paradigm with a frequency-enhanced decomposable network to adeptly navigate the intricacies of non-stationarity. Technically, the coarse-to-fine diffusion model embeds cross-resolution correlations into the forward process to optimize diffusion transitions mathematically. It then innovatively employs low-resolution recovery to guide the reverse trajectories of high-resolution series in a coarse-to-fine manner, enhancing the model's ability to learn and elucidate underlying temporal patterns. Furthermore, the frequency-enhanced decomposable network operates in the frequency domain to extract globally shared time-invariant information and time-variant temporal dynamics for accurate series reconstruction. Extensive experiments conducted across five real-world datasets demonstrate that our proposed MODEM achieves state-of-the-art performance and can be generalized to other time series tasks.