"""
NLL Poisson Scorer
------------------
Poisson distribution negative log-likelihood Scorer.
The anomaly score is the negative log likelihood of the actual series values
under a Poisson distribution estimated from the stochastic prediction.
"""
import numpy as np
from scipy.stats import poisson
from darts.ad.scorers.scorers import NLLScorer
[docs]class PoissonNLLScorer(NLLScorer):
def __init__(self, window: int = 1) -> None:
super().__init__(window=window)
def __str__(self):
return "PoissonNLLScorer"
def _score_core_nllikelihood(
self,
deterministic_values: np.ndarray,
probabilistic_estimations: np.ndarray,
) -> np.ndarray:
mu = np.mean(probabilistic_estimations, axis=1)
return -poisson.logpmf(deterministic_values, mu=mu)