prts 0.1.0

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Precision and Recall for Time Series

Unofficial python implementation of Precision and Recall for Time Series.

Classical anomaly detection is principally concerned with point-based anomalies, those anomalies that occur at a single point in time. Yet, many real-world anomalies are range-based, meaning they occur over a period of time. Motivated by this observation, we present a new mathematical model to evaluate the accuracy of time series classification algorithms. Our model expands the well-known Precision and Recall metrics to measure ranges, while simultaneously enabling customization support for domain-specific preferences.

Installation

You can use the following command to install poetry and dependencies.

$ pip install poetry
$ poetry install

Usage

from prts import ts_precision, ts_recall


# calculate time series precision score
precision_flat = ts_precision(real, pred, alpha=0.0, cardinality="reciprocal", bias="flat")
precision_front = ts_precision(real, pred, alpha=0.0, cardinality="reciprocal", bias="front")
precision_middle = ts_precision(real, pred, alpha=0.0, cardinality="reciprocal", bias="middle")
precision_back = ts_precision(real, pred, alpha=0.0, cardinality="reciprocal", bias="back")
print("precision_flat=", precision_flat)
print("precision_front=", precision_front)
print("precision_middle=", precision_middle)
print("precision_back=", precision_back)

# calculate time series recall score
recall_flat = ts_recall(real, pred, alpha=0.0, cardinality="reciprocal", bias="flat")
recall_front = ts_recall(real, pred, alpha=0.0, cardinality="reciprocal", bias="front")
recall_middle = ts_recall(real, pred, alpha=0.0, cardinality="reciprocal", bias="middle")
recall_back = ts_recall(real, pred, alpha=0.0, cardinality="reciprocal", bias="back")
print("recall_flat=", recall_flat)
print("recall_front=", recall_front)
print("recall_middle=", recall_middle)
print("recall_back=", recall_back)

Examples

We provide a simple example code. By the following command you can run the example code for the toy dataset and visualize the metrics.

$ python3 examples/precision_recall_for_time_series.py

Tests

You can run all the test codes as follows:

$ make test

References

• Tatbul, Nesime, Tae Jun Lee, Stan Zdonik, Mejbah Alam, and Justin Gottschlich. 2018. “Precision and Recall for Time Series.” In Advances in Neural Information Processing Systems, edited by S. Bengio, H. Wallach, H. Larochelle, K. Grauman, N. Cesa-Bianchi, and R. Garnett, 31:1920–30. Curran Associates, Inc.

LICENSE

This repository is Apache-style licensed, as found in the LICENSE file.