Time series change point detection can identify the locations of abrupt points in many dynamic processes. It can help us to find anomaly data in an early stage. At the same time, detecting change points for long, periodic, and multiple input series data has received a lot of attention recently, and is universally applicable in many fields including power, environment, finance, and medicine. However, the performance of classical methods typically scales poorly for such time series. In this paper, we propose CPMAN, a novel prediction-based change point detection approach via multi-stage attention networks. Our model consists of two key modules. First, in the time series prediction module, we employ the multi-stage attention-based networks and integrate the multi-series fusion mechanism. This module can adaptively extract features from the relevant input series and capture the long-term temporal dependencies. Secondly, in the change point detection module, we use the wavelet analysis-based algorithm to detect change points efficiently and identify the change points and outliers. Extensive experiments are conducted on various real-world datasets and synthetic datasets, proving the superiority and effectiveness of CPMAN. Our approach outperforms the state-of-the-art methods by up to 12.1% on the F1 Score.
Multi-Stage Change Point Detection with Copula Conditional Distribution with PCA and Functional PCA
