WassersteinScorer¶

Wasserstein Scorer (distance function defined between probability distributions) [1]. The implementations is wrapped around scipy.stats.

References

1: https://en.wikipedia.org/wiki/Wasserstein_metric

class darts.ad.scorers.wasserstein_scorer.WassersteinScorer(window=10, component_wise=False, diff_fn='abs_diff')[source]¶

Bases: FittableAnomalyScorer

When calling fit(series), a moving window is applied, which results in a set of vectors of size W, where W is the window size. These vectors are kept in memory, representing the training distribution. The score(series) function will apply the same moving window. The Wasserstein distance is computed between the training distribution and each vector, resulting in an anomaly score.

Alternatively, the scorer has the functions fit_from_prediction() and score_from_prediction(). Both require two series (actual and prediction), and compute a “difference” series by applying the function diff_fn (default: absolute difference). The resulting series is then passed to the functions fit() and score(), respectively.

component_wise is a boolean parameter indicating how the model should behave with multivariate inputs series. If set to True, the model will treat each series dimension independently. If set to False, the model concatenates the dimensions in each windows of length W and computes a single score for all dimensions.

Training with fit():

The input can be a series (univariate or multivariate) or multiple series. The series will be partitioned into equal size subsequences. The subsequence will be of size W * D, with:

W being the size of the window given as a parameter window
D being the dimension of the series (D = 1 if univariate or if component_wise is set to True)

For a series of length N, (N - W + 1)/W subsequences will be generated. If a list of series is given of length L, each series will be partitioned into subsequences, and the results will be concatenated into an array of length L * number of subsequences of each series.

The arrays will be kept in memory, representing the training data distribution. In practice, the series or list of series can for instance represent residuals than can be considered independent and identically distributed (iid).

If component_wise is set to True, the algorithm will be applied to each dimension independently. For each dimension, a PyOD model will be trained.

Computing score with score():

The input can be a series (univariate or multivariate) or a sequence of series. The given series must have the same dimension D as the data used to train the PyOD model.

For each series, if the series is multivariate of dimension D:

if component_wise is set to False: it returns a univariate series (dimension=1). It represents the anomaly score of the entire series in the considered window at each timestamp.
if component_wise is set to True: it returns a multivariate series of dimension D. Each dimension represents the anomaly score of the corresponding component of the input.

If the series is univariate, it returns a univariate series regardless of the parameter component_wise.

A window of size W is rolled on the series with a stride equal to 1. It is the same size window W used during the training phase. Each value in the score series thus represents how anomalous the sample of the W previous values is.

Parameters

window (int) – Size of the sliding window that represents the number of samples in the testing distribution to compare with the training distribution in the Wasserstein function
diff_fn – Optionally, reduced function to use if two series are given. It will transform the two series into one. This allows the WassersteinScorer to compute the Wasserstein distance on the original series or on its residuals (difference between the prediction and the original series). Must be one of “abs_diff” and “diff” (defined in _diff_series()). Default: “abs_diff”
component_wise (bool) – Boolean value indicating if the score needs to be computed for each component independently (True) or by concatenating the component in the considered window to compute one score (False). Default: False

Attributes

is_probabilistic

Whether the scorer expects a probabilistic prediction for its first input.

Methods

`check_if_fit_called`()	Checks if the scorer has been fitted before calling its score() function.
`eval_accuracy`(actual_anomalies, series[, metric])	Computes the anomaly score of the given time series, and returns the score of an agnostic threshold metric.
`eval_accuracy_from_prediction`(...[, metric])	Computes the anomaly score between actual_series and pred_series, and returns the score of an agnostic threshold metric.
`fit`(series)	Fits the scorer on the given time series input.
`fit_from_prediction`(actual_series, pred_series)	Fits the scorer on the two (sequence of) series.
`score`(series)	Computes the anomaly score on the given series.
`score_from_prediction`(actual_series, pred_series)	Computes the anomaly score on the two (sequence of) series.
`show_anomalies`(series[, actual_anomalies, ...])	Plot the results of the scorer.
`show_anomalies_from_prediction`(...[, ...])	Plot the results of the scorer.

check_if_fit_called()¶: Checks if the scorer has been fitted before calling its score() function.

eval_accuracy(actual_anomalies, series, metric='AUC_ROC')¶

Computes the anomaly score of the given time series, and returns the score of an agnostic threshold metric.

Parameters

actual_anomalies (Union[TimeSeries, Sequence[TimeSeries]]) – The ground truth of the anomalies (1 if it is an anomaly and 0 if not)
series (Union[TimeSeries, Sequence[TimeSeries]]) – The (sequence of) series to detect anomalies from.
metric (str) – Optionally, metric function to use. Must be one of “AUC_ROC” and “AUC_PR”. Default: “AUC_ROC”

Returns

Score of an agnostic threshold metric for the computed anomaly score

float if series is a univariate series (dimension=1).
Sequence[float]
- if series is a multivariate series (dimension>1), returns one
value per dimension, or * if series is a sequence of univariate series, returns one value per series
Sequence[Sequence[float]]] if series is a sequence of multivariate

series. Outer Sequence is over the sequence input and the inner Sequence is over the dimensions of each element in the sequence input.

Return type

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

eval_accuracy_from_prediction(actual_anomalies, actual_series, pred_series, metric='AUC_ROC')¶

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

Parameters

actual_anomalies (Union[TimeSeries, Sequence[TimeSeries]]) – The (sequence of) ground truth of the anomalies (1 if it is an anomaly and 0 if not)
actual_series (Union[TimeSeries, Sequence[TimeSeries]]) – The (sequence of) actual series.
pred_series (Union[TimeSeries, Sequence[TimeSeries]]) – The (sequence of) predicted series.
metric (str) – Optionally, metric function to use. Must be one of “AUC_ROC” and “AUC_PR”. Default: “AUC_ROC”

Returns

Score of an agnostic threshold metric for the computed anomaly score

float if actual_series and actual_series are univariate series (dimension=1).
Sequence[float]
- if actual_series and actual_series are multivariate series (dimension>1),
returns one value per dimension, or * if actual_series and actual_series are sequences of univariate series, returns one value per series
Sequence[Sequence[float]]] if actual_series and actual_series are sequences

of multivariate series. Outer Sequence is over the sequence input and the inner Sequence is over the dimensions of each element in the sequence input.

Return type

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

fit(series)¶

Fits the scorer on the given time series input.

If sequence of series is given, the scorer will be fitted on the concatenation of the sequence.

The assumption is that the series series used for training are generally anomaly-free.

Parameters: series (Union[TimeSeries, Sequence[TimeSeries]]) – The (sequence of) series with no anomalies.
Returns: Fitted Scorer.
Return type: self

fit_from_prediction(actual_series, pred_series)¶

Fits the scorer on the two (sequence of) series.

The function diff_fn passed as a parameter to the scorer, will transform pred_series and actual_series into one series. By default, diff_fn will compute the absolute difference (Default: “abs_diff”). If pred_series and actual_series are sequences, diff_fn will be applied to all pairwise elements of the sequences.

The scorer will then be fitted on this (sequence of) series. If a sequence of series is given, the scorer will be fitted on the concatenation of the sequence.

The scorer assumes that the (sequence of) actual_series is anomaly-free.

Parameters

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

Returns

Fitted Scorer.

Return type

self

property is_probabilistic: bool¶

Whether the scorer expects a probabilistic prediction for its first input.

Return type: bool

score(series)¶

Computes the anomaly score on the given series.

If a sequence of series is given, the scorer will score each series independently and return an anomaly score for each series in the sequence.

Parameters: series (Union[TimeSeries, Sequence[TimeSeries]]) – The (sequence of) series to detect anomalies from.
Returns: (Sequence of) anomaly score time series
Return type: Union[TimeSeries, Sequence[TimeSeries]]

score_from_prediction(actual_series, pred_series)¶

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

The function diff_fn passed as a parameter to the scorer, will transform pred_series and actual_series into one “difference” series. By default, diff_fn will compute the absolute difference (Default: “abs_diff”). If actual_series and pred_series are sequences, diff_fn will be applied to all pairwise elements of the sequences.

The scorer will then transform this series into an anomaly score. If a sequence of series is given, the scorer will score each series independently and return an anomaly score for each series in the sequence.

Parameters

actual_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(series, actual_anomalies=None, scorer_name=None, title=None, metric=None)¶

Plot the results of the scorer.

Computes the score on the given series input. And plots the results.

The plot will be composed of the following:

the series itself.
the anomaly score of the score.
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 series to visualize anomalies from.
actual_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[str]) – Optionally, Scoring function to use. Must be one of “AUC_ROC” and “AUC_PR”. Default: “AUC_ROC”

show_anomalies_from_prediction(actual_series, pred_series, scorer_name=None, actual_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 actual_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

actual_series (TimeSeries) – The actual series to visualize anomalies from.
pred_series (TimeSeries) – The predicted series of actual_series.
actual_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[str]) – Optionally, Scoring function to use. Must be one of “AUC_ROC” and “AUC_PR”. Default: “AUC_ROC”

Utils for Anomaly Detection