  Time series anomaly detection is a challenging problem due to the complex
temporal dependencies and the limited label data. Although some algorithms
including both traditional and deep models have been proposed, most of them
mainly focus on time-domain modeling, and do not fully utilize the information
in the frequency domain of the time series data. In this paper, we propose a
Time-Frequency analysis based time series Anomaly Detection model, or TFAD for
short, to exploit both time and frequency domains for performance improvement.
Besides, we incorporate time series decomposition and data augmentation
mechanisms in the designed time-frequency architecture to further boost the
abilities of performance and interpretability. Empirical studies on widely used
benchmark datasets show that our approach obtains state-of-the-art performance
in univariate and multivariate time series anomaly detection tasks. Code is
provided at https://github.com/DAMO-DI-ML/CIKM22-TFAD.
