A method, computer system, and computer program product to detect anomalies in a multivariate or multidimensional time series data set. The time series data set is retrieved from a monitored device. A pair of neural networks are trained simultaneously using the retrieved time series data set by implementing an adversarial training process, to generate a generative neural network and a discriminative neural network. The anomalies in the time series data set of the monitored device are detected by implementing one or both of the generative neural network and the discriminative neural network to monitor the time series data set.