pythresh 0.1.1

A Python Toolbox for Outlier Detection Thresholding

PyThresh is a comprehensive and scalable Python toolkit for thresholding detected possible outliers in univariate/multivariate data. It has been writen to work in tandem with PyOD with similar syntax and data structures. However, it is not limited to this single library to achieve good results. PyThresh is meant to threshold scores generated by an outlier detection. It thresholds scores without the need to set a contamination level or guess the amount of outliers that may be in the dataset beforehand. These non-parametric methods were written to reduce the user’s input/guess work and rely on statistics instead to threshold outlier scores. The scores needed to apply thresholing correctly must follow: the higher the score, the higher the probability that it is an outlier in the dataset. All threshold functions return a binary array where 0 values represent inliers, while 1 values are outliers.

PyThresh includes more than 30 thresholding algorithms. These alogorithms range from using simple statistical analysis like the Z-score to more complex mathematical methods that involve graph theory and topology.

Outlier Detection Thresholding with 7 Lines of Code:

# train the KNN detector
from pyod.models.knn import KNN
from pythresh.thresholds.dsn import DSN

clf = KNN()
clf.fit(X_train)

# get outlier scores
decision_scores = clf.decision_scores_  # raw outlier scores on the train data

# get outlier labels
thres = DSN()
labels = thresh.eval(decision_scores)

Installation

It is recommended to use pip or conda for installation:

pip install pythresh            # normal install
pip install --upgrade pythresh  # or update if needed

conda install -c conda-forge pythresh

Alternatively, you could clone and run setup.py file:

git clone https://github.com/KulikDM/pythresh
cd pythresh
pip install .

Required Dependencies:

• matplotlib

• numpy>=1.13

• scipy>=1.3.1

• scikit_learn>=0.20.0

• six

• pyod

API Cheatsheet

• eval(score): evaluate outlier score.

Key Attributes of threshold:

• thresh_: Return the threshold value that seperates inliers from outliers. Outliers are considered all values above this threshold value. Note the threshold value has been derived from normalized scores.

Implemented Algorithms

(i) Individual Thresholding Algorithms :

Abbr	Description	Parameters
AUCP	Area Under Curve Precentage	None
BOOT	Bootstrapping	None
CHAU	Chauvenet’s Criterion	method: [‘mean’, ‘median’, default=’gmean’]
CLF	Trained Classifier	None
DSN	Distance Shift from Normal	metric: [‘JS’: Jensen-Shannon, ‘WS’: Wasserstein, ‘ENG’: Energy, ‘BHT’: Bhattacharyya, ‘HLL’: Hellinger ‘HI’: Histogram intersection, default = ‘LK’: Lukaszyk–Karmowski metric for normal distributions, ‘LP’: Levy-Prokhorov, ‘MAH’: Mahalanobis, ‘TMT’: Tanimoto, ‘RES’: Studentized residual distance]
EB	Elliptical Boundary	None
FGD	Fixed Gradient Descent	None
FWFM	Full Width at Full Minimum	None
GESD	Generalized Extreme Studentized Deviate	max_outliers: int, default=None; alpha: float, default=0.05
GF	Gaussian Filter	None
HIST	Histogram Based	n_bins: int, default=None, method: [default=’otsu’, ‘yen’, ‘isodata’, ‘li’, ‘minimum’, ‘triangle’]
IQR	Inter-Qaurtile Region	None
KMEANS	K-means Clustering	None
MAD	Median Absolute Deviation	None
MCST	Monte Carlo Shapiro Tests	None
MOLL	Friedrichs’ Mollifier	None
MTT	Modified Thompson Tau Test	strictness: [1,2,3,default=4,5]
QMCD	Quasi-Monte Carlo Discreprancy	method: [‘CD’, default=’WD’, ‘MD’, ‘L2-star’], lim: [‘Q’, default=’P’]
REGR	Regression Based	method: [default=’siegel’, ‘theil’]
SHIFT	Mean Shift Clustering	None
WIND	Topological Winding Number	None
YJ	Yeo-Johnson Transformation	None
ZSCORE	Z-score	None
ALL	All Thresholders Combined	thresholders: list, default=’all’, max_contam: float, default=0.5; method: [default=’mean’, ‘median’, ‘gmean’]

Implementations & Benchmarks

The comparison among implemented models and general implementation is made available below

For Jupyter Notebooks, please navigate to notebooks.

A quick look at all the thresholders performance can be found at “/notebooks/Compare All Models.ipynb”