A method and system that efficiently selects sensors without requiring advanced expertise or extensive experience even in a case of new machines and unknown failures. An abnormality detection system includes a storage unit for storing a latent variable model and a joint probability model, an acquisition unit for acquiring sensor data that is output by a sensor, a measurement unit for measuring the probability of the sensor data acquired by the acquisition unit based on the latent variable model and the joint probability model stored by the storage unit, a determination unit for determining whether the sensor data is normal or abnormal based on the probability of the sensor data measured by the measurement unit, and a learning unit for learning the latent variable model and the joint probability model based on the sensor data output by the sensor.