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.

class darts.ad.scorers.nll_gaussian_scorer.GaussianNLLScorer(window=1)[source]¶

Bases: NLLScorer

NLL Gaussian Scorer

Parameters: window (int) – Integer value indicating the size of the window W used by the scorer to transform the series into an anomaly score. A scorer will slice the given series into subsequences of size W and returns a value indicating how anomalous these subset of W values are. A post-processing step will convert this anomaly score into a point-wise anomaly score (see definition of window_transform). The window size should be commensurate to the expected durations of the anomalies one is looking for.

Attributes

`is_probabilistic`	Whether the scorer expects a probabilistic prediction as the first input.
`is_trainable`	Whether the scorer is trainable.
`is_univariate`	Whether the Scorer is a univariate scorer.

Methods

`eval_metric_from_prediction`(anomalies, ...)	Computes the anomaly score between series and pred_series, and returns the score of an agnostic threshold metric.
`score_from_prediction`(series, pred_series)	Computes the anomaly score on the two (sequence of) series.
`show_anomalies_from_prediction`(series, ...)	Plot the results of the scorer.

eval_metric_from_prediction(anomalies, series, pred_series, metric='AUC_ROC')¶

Computes the anomaly score between series and pred_series, and returns the score of an agnostic threshold metric.

Parameters

anomalies (Union[TimeSeries, Sequence[TimeSeries]]) – The (sequence of) ground truth binary anomaly series (1 if it is an anomaly and 0 if not).
series (Union[TimeSeries, Sequence[TimeSeries]]) – The (sequence of) actual series.
pred_series (Union[TimeSeries, Sequence[TimeSeries]]) – The (sequence of) predicted series.
metric (Literal[‘AUC_ROC’, ‘AUC_PR’]) – The name of the metric function to use. Must be one of “AUC_ROC” (Area Under the Receiver Operating Characteristic Curve) and “AUC_PR” (Average Precision from scores). Default: “AUC_ROC”.

Return type

Union[float, Sequence[float], Sequence[Sequence[float]]]

Returns

float – A single metric value for a single univariate series.
Sequence[float] – A sequence of metric values for:
- a single multivariate series.
- a sequence of univariate series.
Sequence[Sequence[float]] – A sequence of sequences of metric values for a sequence of multivariate series. The outer sequence is over the series, and inner sequence is over the series’ components/columns.

property is_probabilistic: bool¶

Whether the scorer expects a probabilistic prediction as the first input.

Return type: bool

property is_trainable: bool¶

Whether the scorer is trainable.

Return type: bool

property is_univariate: bool¶

Whether the Scorer is a univariate scorer.

Return type: bool

score_from_prediction(series, pred_series)¶

Computes the anomaly score on the two (sequence of) series.

If a pair of sequences is given, they must contain the same number of series. The scorer will score each pair of series independently and return an anomaly score for each pair.

Parameters

series (Union[TimeSeries, Sequence[TimeSeries]]) – The (sequence of) actual series.
pred_series (Union[TimeSeries, Sequence[TimeSeries]]) – The (sequence of) predicted series.

Returns

(Sequence of) anomaly score time series

Return type

Union[TimeSeries, Sequence[TimeSeries]]

show_anomalies_from_prediction(series, pred_series, scorer_name=None, anomalies=None, title=None, metric=None)¶

Plot the results of the scorer.

Computes the anomaly score on the two series. And plots the results.

The plot will be composed of the following:

the series and the pred_series.
the anomaly score of the scorer.
the actual anomalies, if given.

It is possible to:

add a title to the figure with the parameter title
give personalized name to the scorer with scorer_name
show the results of a metric for the anomaly score (AUC_ROC or AUC_PR), if the actual anomalies is provided.

Parameters

series (TimeSeries) – The actual series to visualize anomalies from.
pred_series (TimeSeries) – The predicted series of series.
anomalies (Optional[TimeSeries]) – The ground truth of the anomalies (1 if it is an anomaly and 0 if not)
scorer_name (Optional[str]) – Name of the scorer.
title (Optional[str]) – Title of the figure
metric (Optional[Literal[‘AUC_ROC’, ‘AUC_PR’]]) – Optionally, the name of the metric function to use. Must be one of “AUC_ROC” (Area Under the Receiver Operating Characteristic Curve) and “AUC_PR” (Average Precision from scores). Default: “AUC_ROC”.

NLL Gamma Scorer

NLL Laplace Scorer