Systems and methods for determining a source of anomaly in a cyber-physical system (CPS). A forecasting tool can obtain a plurality of CPS feature values during an input window and forecast the plurality of CPS feature values for a forecast window. An anomaly identification tool can determine a total forecast error for the plurality of CPS features in the forecast window, identify an anomaly in the cyber-physical system when the total forecast error exceeds a total error threshold, and identify at least one CPS feature as the source of the anomaly.