merlion.models.anomaly.change_point package

Contains all change point detection algorithms. These models implement the anomaly detector interface, but they are specialized for detecting change points in time series.

bocpd

Bayesian online change point detection algorithm.

Submodules

merlion.models.anomaly.change_point.bocpd module

Bayesian online change point detection algorithm.

class merlion.models.anomaly.change_point.bocpd.ChangeKind(value)

Bases: Enum

Enum representing the kinds of changes points we would like to detect. Enum values correspond to the Bayesian ConjPrior class used to detect each sort of change point.

Auto = None

Automatically choose the Bayesian conjugate prior we would like to use.

LevelShift = <class 'merlion.utils.conj_priors.MVNormInvWishart'>

Model data points with a normal distribution, to detect level shifts.

TrendChange = <class 'merlion.utils.conj_priors.BayesianMVLinReg'>

Model data points as a linear function of time, to detect trend changes.

class merlion.models.anomaly.change_point.bocpd.BOCPDConfig(change_kind=ChangeKind.Auto, cp_prior=0.01, lag=None, min_likelihood=1e-16, max_forecast_steps=None, target_seq_index=None, invert_transform=None, transform=None, enable_calibrator=False, max_score=1000, threshold=None, enable_threshold=True, **kwargs)

Bases: ForecasterConfig, NoCalibrationDetectorConfig

Config class for BOCPD (Bayesian Online Change Point Detection).

Base class of the object used to configure an anomaly detection model.

Parameters

  • change_kind (Union[str, ChangeKind]) – the kind of change points we would like to detect

  • cp_prior – prior belief probability of how frequently changepoints occur

  • lag – the maximum amount of delay/lookback (in number of steps) allowed for detecting change points. If lag is None, we will consider the entire history. Note: we do not recommend lag = 0.

  • min_likelihood – we will discard any hypotheses whose probability of being a change point is lower than this threshold. Lower values improve accuracy at the cost of time and space complexity.

  • max_forecast_steps – the maximum number of steps the model is allowed to forecast. Ignored.

  • target_seq_index – The index of the univariate (amongst all univariates in a general multivariate time series) whose value we would like to forecast.

  • invert_transform – Whether to automatically invert the transform before returning a forecast. By default, we will invert the transform for all base forecasters if it supports a proper inversion, but we will not invert it for forecaster-based anomaly detectors or transforms without proper inversions.

  • transform – Transformation to pre-process input time series.

  • enable_calibrator – False because this config assumes calibrated outputs from the model.

  • max_score – maximum possible uncalibrated anomaly score

  • threshold – the rule to use for thresholding anomaly scores

  • enable_threshold – whether to enable the thresholding rule when post-processing anomaly scores

property change_kind: ChangeKind
Return type

ChangeKind

class merlion.models.anomaly.change_point.bocpd.BOCPD(config=None)

Bases: ForecastingDetectorBase

Bayesian online change point detection algorithm described by Adams & MacKay (2007). At a high level, this algorithm models the observed data using Bayesian conjugate priors. If an observed value deviates too much from the current posterior distribution, it is likely a change point, and we should start modeling the time series from that point forwards with a freshly initialized Bayesian conjugate prior.

The get_anomaly_score() method returns a z-score corresponding to the probability of each point being a change point. The forecast() method returns the predicted values (and standard error) of the underlying piecewise model on the relevant data.

Parameters

config (Optional[BOCPDConfig]) – model configuration

config_class

alias of BOCPDConfig

property require_even_sampling: bool

Whether the model assumes that training data is sampled at a fixed frequency

Return type

bool

property require_univariate: bool

All forecasters can work on multivariate data, since they only forecast a single target univariate.

Return type

bool

property last_train_time
Returns

the last time (as a pandas.Timestamp) that the model was trained on

property n_seen
Returns

the number of data points seen so far

property change_kind: ChangeKind
Return type

ChangeKind

Returns

the kind of change points we would like to detect

property cp_prior: float
Return type

float

Returns

prior belief probability of how frequently changepoints occur

property lag: int
Return type

int

Returns

the maximum amount of delay allowed for detecting change points. A higher lag can increase recall, but it may decrease precision.

property min_likelihood: float
Return type

float

Returns

we will not consider any hypotheses (about whether a particular point is a change point) with likelihood lower than this threshold

train_pre_process(train_data, exog_data=None, return_exog=False)

Applies pre-processing steps common for training most models.

Parameters

train_data (TimeSeries) – the original time series of training data

Return type

Union[TimeSeries, Tuple[TimeSeries, Optional[TimeSeries]]]

Returns

the training data, after any necessary pre-processing has been applied

update(time_series)

Updates the BOCPD model’s internal state using the time series values provided.

Parameters

time_series (TimeSeries) – time series whose values we are using to update the internal state of the model

Returns

anomaly score associated with each point (based on the probability of it being a change point)

get_anomaly_score(time_series, time_series_prev=None, exog_data=None)

Returns the model’s predicted sequence of anomaly scores.

Parameters

  • time_series (TimeSeries) – the TimeSeries we wish to predict anomaly scores for.

  • time_series_prev (Optional[TimeSeries]) – a TimeSeries immediately preceding time_series. If given, we use it to initialize the time series anomaly detection model. Otherwise, we assume that time_series immediately follows the training data.

Return type

TimeSeries

Returns

a univariate TimeSeries of anomaly scores

get_figure(*, time_series=None, **kwargs)
Parameters

  • time_series (Optional[TimeSeries]) – the time series over whose timestamps we wish to make a forecast. Exactly one of time_series or time_stamps should be provided.

  • time_stamps – Either a list of timestamps we wish to forecast for, or the number of steps (int) we wish to forecast for. Exactly one of time_series or time_stamps should be provided.

  • time_series_prev – a time series immediately preceding time_series. If given, we use it to initialize the forecaster’s state. Otherwise, we assume that time_series immediately follows the training data.

  • exog_data – A time series of exogenous variables. Exogenous variables are known a priori, and they are independent of the variable being forecasted. exog_data must include data for all of time_stamps; if time_series_prev is given, it must include data for all of time_series_prev.time_stamps as well. Optional. Only supported for models which inherit from ForecasterExogBase.

  • plot_anomaly – Whether to plot the model’s predicted anomaly scores.

  • filter_scores – whether to filter the anomaly scores by the post-rule before plotting them.

  • plot_forecast – Whether to plot the model’s forecasted values.

  • plot_forecast_uncertainty – whether to plot uncertainty estimates (the inter-quartile range) for forecast values. Not supported for all models.

  • plot_time_series_prev – whether to plot time_series_prev (and the model’s fit for it). Only used if time_series_prev is given.

Return type

Figure

Returns

a Figure of the model’s anomaly score predictions and/or forecast.