Detection of defects and identification of symptoms in monitoring industrial systems is a widely studied problem with applications in a wide range of domains. Most of the monitored information extracted from systems corresponds to data series (or time series), where the evolution of values through one or multiple dimensions directly illustrates its health state. Thus, an automatic anomaly detection method in data series becomes crucial. In this article, we propose a novel method based on a convolutional neural network to detect precursors of anomalies in multivariate data series. Our contribution is twofold: We first describe a new convolutional architecture dedicated to multivariate data series classification; We then propose a novel method that returns dCAM, a dimension-wise Class Activation Map specifically designed for multivariate time series that can be used to identify precursors when used for classifying normal and abnormal data series. Experiments with several synthetic datasets demonstrate that dCAM is more accurate than previous classification approaches and a viable solution for discriminant feature discovery and classification explanation in multivariate time series. We then experimentally evaluate our approach on a real and challenging use case dedicated to identifying vibration precursors on pumps in nuclear power plants.