Source code for

NLL Gaussian Scorer

Gaussian negative log-likelihood Scorer.

The anomaly score is the negative log likelihood of the actual series values
under a Gaussian distribution estimated from the stochastic predictions.

import numpy as np
from scipy.stats import norm

from import NLLScorer

[docs]class GaussianNLLScorer(NLLScorer): def __init__(self, window: int = 1) -> None: super().__init__(window=window) def __str__(self): return "GaussianNLLScorer" def _score_core_nllikelihood( self, deterministic_values: np.ndarray, probabilistic_estimations: np.ndarray, ) -> np.ndarray: mu = np.mean(probabilistic_estimations, axis=1) std = np.std(probabilistic_estimations, axis=1) return -norm.logpdf(deterministic_values, loc=mu, scale=std)