anomalytics 0.1.6

The ultimate anomaly detection library.

Anomalytics

Your Ultimate Anomaly Detection & Analytics Tool

Introduction

anomalytics is a Python library that aims to implement all statistical method for the purpose of dtecting any sort of anomaly e.g. extreme events, high or low anomalies, etc. This library utilises external dependencies such as:

• Pandas 2.1.1
• NumPy 1.26.0
• SciPy 1.11.3
• Matplotlib 3.8.2
• Pytest-Cov 4.1.0.
• Black 23.10.0
• Isort 5.12.0
• MyPy 1.6.1
• Bandit 1.7.5

anomalytics supports the following Python's versions: 3.10.x, 3.11.x, 3.12.0.

Installation

To use the library, you can install as follow:

# Install without openpyxl
$ pip3 install anomalytics

# Install with openpyxl
$ pip3 install "anomalytics[extra]"

As a contributor/collaborator, you may want to consider installing all external dependencies for development purposes:

# Install bandit, black, isort, mypy, openpyxl, pre-commit, and pytest-cov
$ pip3 install "anomalytics[codequality,docs,security,testcov,extra]"

Use Case

anomalytics can be used to analyze anomalies in your dataset (both as pandas.DataFrame or pandas.Series). To start, let's follow along with this minimum example where we want to detect extremely high anomalies in our time series dataset.

Anomaly Detection via the Detector Instance

1. Import anomalytics and initialise our time series of 100_002 rows:

   import anomalytics as atics
   
   ts = atics.read_ts("./water_level.csv", "csv")
   ts.head()
   

   2008-11-03 06:00:00    0.219
   2008-11-03 07:00:00   -0.041
   2008-11-03 08:00:00   -0.282
   2008-11-03 09:00:00   -0.368
   2008-11-03 10:00:00   -0.400
   Name: Water Level, dtype: float64
   

2. Initialize the needed detector object. Each detector utilises a different statistical method for detecting anomalies. In this example, we'll use POT method and a high anomaly type. Pay attention to the time period that is directly created where the t2 is 1 by default because "real-time" always targets the "now" period hence 1 (sec, min, hour, day, week, month, etc.):

   pot_detector = atics.get_detector(method="POT", dataset=ts, anomaly_type="high")
   
   print(f"T0: {pot_detector.t0}")
   print(f"T1: {pot_detector.t1}")
   print(f"T2: {pot_detector.t2}")
   

   T0: 70001
   T1: 30000
   T2: 1
   

3. The purpose of using the detector object instead the standalone is to have a simple fix detection flow. In case you want to customize the time window, we can call the reset_time_window() to reset t2 value, even though that will beat the purpose of using a detector object. Pay attention to the period parameters because the method expects a percentage representation of the distribution of period (ranging 0.0 to 1.0):

   pot_detector.reset_time_window(
       "historical",
       t0_pct=0.65,
       t1_pct=0.25,
       t2_pct=0.1
   )
   
   print(f"T0: {pot_detector.t0}")
   print(f"T1: {pot_detector.t1}")
   print(f"T2: {pot_detector.t2}")
   

   T0: 65001
   T1: 25001
   T2: 10000
   

4. Let's extract exceedances by giving the expected quantile:

   pot_detector.get_extremes(0.95)
   pot_detector.exeedances.head()
   

   2008-11-03 06:00:00    0.859
   2008-11-03 07:00:00    0.859
   2008-11-03 08:00:00    0.859
   2008-11-03 09:00:00    0.859
   2008-11-03 10:00:00    0.859
   Name: Water Level, dtype: float64
   

5. Let's visualize the exceedances and its threshold to have a clearer understanding of our dataset:

   pot_detector.plot(plot_type="l+eth", title=f"Peaks Over Threshold", xlabel="Hourly", ylabel="Water Level", alpha=1.0)
   

   

6. Fit our data into the chosen distribution, in this case the "Generalized Pareto Distribution". The first couple rows will be zeroes which is normal because we only fit data that are greater than zero into the wanted distribution:

   pot_detector.fit()
   pot_detector.fit_result.head()
   

   2016-04-03 15:00:00    0.0
   2016-04-03 16:00:00    0.0
   2016-04-03 17:00:00    0.0
   2016-04-03 18:00:00    0.0
   2016-04-03 19:00:00    0.0
   Name: anomaly scores, dtype: float64
   ...
   

7. The parameters are stored inside the detector class:

   pot_detector.params
   

   {0: {'index': Timestamp('2016-04-03 15:00:00'),
   'c': 0.0,
   'loc': 0.0,
   'scale': 0.0,
   'p_value': 0.0,
   'anomaly_score': 0.0},
   1: {'index': Timestamp('2016-04-03 16:00:00'),
   ...
   'c': 0.0,
   'loc': 0.0,
   'scale': 0.0,
   'p_value': 0.0,
   'anomaly_score': 0.0},
   ...}
   

8. Last but not least, we can now detect the extremely high anomalies:

   pot_detector.detect(0.90)
   pot_detector.detection_result.head()
   

   2020-03-31 19:00:00    False
   2020-03-31 20:00:00    False
   2020-03-31 21:00:00    False
   2020-03-31 22:00:00    False
   2020-03-31 23:00:00    False
   Name: anomalies, dtype: bool
   

9. Let's we can visualize the PDF of our GPD parameters:

   pot_detector.plot(plot_type="gpd+ov", title="PDF of GPD", xlabel="95-Quantile of Water Level", ylabel="Density", bins=200, alpha=1.0)
   

   

10. To ensure the performance of our detection, let's inspect the summarized detection result:

    pot_detector.detection_summary
    

            row	            datetime    anomalous_data	anomaly_score	anomaly_threshold
    0	  90981	2019-03-22 02:00:00	             1.342	    28.333367	        15.110118
    1	  91652	2019-04-19 01:00:00	             1.255	    15.603072	        15.110118
    2	  95849	2019-10-10 22:00:00	             1.319      24.615872	        15.110118
    3	  95850	2019-10-10 23:00:00	             1.417      48.738588	        15.110118
    4	  95851	2019-10-11 00:00:00	             1.391      40.553093	        15.110118
    

11. We can also visualize the detection result:

    pot_detector.plot(plot_type="l+ath", title=f"Detection Result", xlabel="Hourly", ylabel="Anomaly Score", alpha=1.0)
    

    

12. Lastly, in every good analysis there is a test! We can evaluate our analysis result with "Kolmogorov Smirnov" 1 sample test to see how far the statistical distance between the observed sample distributions to the theoretical distributions via the fitting parameters (the smaller the stats_distance the better!):

    pot_detector.evaluate("ks")
    pot_detector.evaluation_result.head()
    

        total_nonzero_exceedances	stats_distance	p_value	       c    loc     scale
    0	                     5028	        0.0284	 0.8987 0.003566	  0	 0.140657
    

13. When 1 test is not enough for evaluation, we can also visually test our analysis result with "Quantile-Quantile Plot" method to observed the sample quantile vs. the theoretical quantile:

    pot_detector.evaluate("qq")
    

    

Anomaly Detection via Standalone Functions

anomalytics provies a standalone functions as well in case users want to start the anomaly analysis from a different starting points. It is more flexible, but less guided.

1. Import anomalytics and initialise your time series:

   import anomalytics as atics
   
   ts = atics.read_ts(
       "water_level.csv",
       "csv"
   )
   ts.head()
   

   2008-11-03 06:00:00    0.219
   2008-11-03 07:00:00   -0.041
   2008-11-03 08:00:00   -0.282
   2008-11-03 09:00:00   -0.368
   2008-11-03 10:00:00   -0.400
   Name: Water Level, dtype: float64
   

2. Set the time windows of t0, t1, and t2 to compute dynamic expanding period for calculating the threshold via quantile:

   t0, t1, t2 = atics.set_time_window(
       total_rows=ts.shape[0],
       method="POT",
       analysis_type="historical",
       t0_pct=0.65,
       t1_pct=0.25,
       t2_pct=0.1
   )
   
   print(f"T0: {t0}")
   print(f"T1: {t1}")
   print(f"T2: {t2}")
   

   T0: 65001 T1: 25001 T2: 10000

3. Extract exceedances and indicate that it is a "high" anomaly type and what's the quantile:

   exceedances = atics.get_exceedance_peaks_over_threshold(ts=ts, t0=t0, anomaly_type="high", q=0.95)
   exceedances.head()
   

   2008-11-03 06:00:00    0.859
   2008-11-03 07:00:00    0.859
   2008-11-03 08:00:00    0.859
   2008-11-03 09:00:00    0.859
   2008-11-03 10:00:00    0.859
   Name: Water Level, dtype: float64
   

4. Compute the anomaly score for each exceedance and initialize a params for further analysis and evaluation:

   params = {}
   anomaly_scores = atics.get_anomaly_score(ts=exceedance_ts, t0=t0, gpd_params=params)
   anomaly_scores.head()
   

   2016-04-03 15:00:00    0.0
   2016-04-03 16:00:00    0.0
   2016-04-03 17:00:00    0.0
   2016-04-03 18:00:00    0.0
   2016-04-03 19:00:00    0.0
   Name: anomaly scores, dtype: float64
   ...
   

5. Inspect the parameters:

   params
   

   {0: {'index': Timestamp('2016-04-03 15:00:00'),
   'c': 0.0,
   'loc': 0.0,
   'scale': 0.0,
   'p_value': 0.0,
   'anomaly_score': 0.0},
   1: {'index': Timestamp('2016-04-03 16:00:00'),
   ...
   'c': 0.0,
   'loc': 0.0,
   'scale': 0.0,
   'p_value': 0.0,
   'anomaly_score': 0.0},
   ...}
   

6. Detect the extremely high anomalies:

   detection_result = get_anomaly(ts=anomaly_scores, t1=t1, q=0.95)
   detection_result.head()
   

   2020-03-31 19:00:00    False
   2020-03-31 20:00:00    False
   2020-03-31 21:00:00    False
   2020-03-31 22:00:00    False
   2020-03-31 23:00:00    False
   Name: anomalies, dtype: bool
   

7. Evaluate the analysis result with "Kolmogorov Smirnov" 1 sample test:

   ks_result = atics.evals.ks_1sample(ts=exceedance, stats_method="POT", fit_params=params)
   ks_result
   

   {'total_nonzero_exceedances': 5028, 'stats_distance': 0.0284, 'p_value': 0.8987, 'c': 0.003566, 'loc': 0, 'scale': 0.140657}
   

8. Evaluate the analysis for the second time using "QQ-Plot", but this time we need to process the exceedances and params ourselves so they don't contain zeroes:

   nonzero_exceedances = exceedances[exceedances.values > 0]
   nonzero_params = []
   
   for row in range(0, t1 + t2):
       if (
           params[row]["c"] != 0
           or params[row]["loc"] != 0
           or params[row]["scale"] != 0
       ):
           nonzero_params.append(params[row])
   
   visualize_qq_plot(
       ts=nonzero_exceedances,
       stats_method="POT",
       fit_params=nonzero_params,
   )
   

Sending Anomaly Notification

We have anomaly you said? Don't worry, anomalytics has the implementation to send an alert via E-Mail or Slack. Just ensure that you have your email password or Slack webhook ready. This example shows both application (please read the comments 😎):

1. Initialize the wanted platform:

   # Gmail
   gmail = atics.get_notification(
       platform="email",
       sender_address="[e-mail]",
       password="AIUEA13",
       recipient_addresses=["[e-mail]", "[e-mail]"],
       smtp_host="smtp.gmail.com",
       smtp_port=876,
   )
   
   # Slack
   slack = atics.get_notification(
       platform="slack",
       webhook_url="https://slack.com/my-slack/1234567890/09876543/213647890",
   )
   
   print(gmail)
   print(slack)
   

   'Email Notification'
   'Slack Notification'
   

2. Prepare the data for the notification. For the standalone analysis, please use exatly the same column names (keys in data)!

   # Standalone
   detected_anomalies = detected_data[detected_data.values == True]
   anomalous_data = ts[detected_anomalies.index]
   data = dict(
       row=[ts.index.get_loc(index) + 1 for index in anomalous.index],
       datetime=[index for index in anomalous.index],
       anomalous_data=[data for data in anomalous.values],
       anomaly_score=[score for score in anomaly_score[anomalous.index].values],
       anomaly_threshold=[anomaly_threshold] * anomalous.shape[0],
   )
   detection_summary = pd.DataFrame(data=data)
   
   
   # Detector Instance
   detection_summary = pot_detector.detection_summary
   
   # Both ways provide the exact same result! Trust me it's tested 😋
   detection_summary
   

           row	            datetime    anomalous_data	anomaly_score	anomaly_threshold
   0	  90981	2019-03-22 02:00:00	             1.342	    28.333367	        15.110118
   1	  91652	2019-04-19 01:00:00	             1.255	    15.603072	        15.110118
   2	  95849	2019-10-10 22:00:00	             1.319      24.615872	        15.110118
   3	  95850	2019-10-10 23:00:00	             1.417      48.738588	        15.110118
   4	  95851	2019-10-11 00:00:00	             1.391      40.553093	        15.110118
   

3. Prepare the notification payload and a custome message if needed:

   # Email
   gmail.setup(
       detection_summary,
       "Attention, detected anomaly from dataset Water Level:"
   )
   
   # Slack
   slack.setup(
       detection_summary,
       "Attention, detected anomaly from dataset Water Level:"
   )
   

4. Send your notification! Beware that the scheduling is not implemented since it always depends on the logic of the use case:

   # Email
   gmail.send
   
   # Slack
   slack.send
   

5. Check your email or slack, this example produces the following notification:

• Email

  🤖 Anomalytics - Anomaly Detected! ...

  Attention, detected anomaly from dataset Water Level:

  Row: 95851 | Date: 2019-10-11 00:00:00 | Anomalous Data: 1.391 | Anomaly Score: 40.553093 | Anomaly Threshold: 15.110118 ...

• Slack Channel

  🤖 Anomalytics - Anomaly Detected!

  Attention, detected anomaly from dataset Water Level:

  Row: 95851 | Date: 2019-10-11 00:00:00 | Anomalous Data: 1.391 | Anomaly Score: 40.553093 | Anomaly Threshold: 15.110118

Reference

• Nakamura, C. (2021, July 13). On Choice of Hyper-parameter in Extreme Value Theory Based on Machine Learning Techniques. arXiv:2107.06074 [cs.LG]. https://doi.org/10.48550/arXiv.2107.06074

• Davis, N., Raina, G., & Jagannathan, K. (2019). LSTM-Based Anomaly Detection: Detection Rules from Extreme Value Theory. In Proceedings of the EPIA Conference on Artificial Intelligence 2019. https://doi.org/10.48550/arXiv.1909.06041

• Arian, H., Poorvasei, H., Sharifi, A., & Zamani, S. (2020, November 13). The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold. arXiv:2011.06693v1 [econ.GN]. https://doi.org/10.48550/arXiv.2011.06693

• Yiannis Kalliantzis. (n.d.). Detect Outliers: Expert Outlier Detection and Insights. Retrieved [23-12-04T15:10:12.000Z], from https://detectoutliers.com/

Wall of Fame

I am deeply grateful to have met and guided by wonderful people who inspired me to finish my capstone project for my study at CODE university of applied sciences in Berlin (2023). Thank you so much for being you!

• Sabrina Lindenberg
• Adam Roe
• Alessandro Dolci
• Christian Leschinski
• Johanna Kokocinski
• Peter Krauß