Anomaly Detection
In this notebook, we’ll implement anomaly detection in time series data
Prerequesites
This tutorial assumes basic familiarity with StatsForecast. For a minimal example visit the Quick Start
Introduction
Anomaly detection is a crucial task in time series forecasting. It involves identifying unusual observations that don’t follow the expected dataset patterns. Anomalies, also known as outliers, can be caused by a variety of factors, such as errors in the data collection process, sudden changes in the underlying patterns of the data, or unexpected events. They can pose problems for many forecasting models since they can distort trends, seasonal patterns, or autocorrelation estimates. As a result, anomalies can have a significant impact on the accuracy of the forecasts, and for this reason, it is essential to be able to identify them. Furthermore, anomaly detection has many applications across different industries, such as detecting fraud in financial data, monitoring the performance of online services, or identifying usual patterns in energy usage.
By the end of this tutorial, you’ll have a good understanding of how to detect anomalies in time series data using StatsForecast’s probabilistic models.
Outline:
- Install libraries
- Load and explore data
- Train model
- Recover insample forecasts and identify anomalies
Important
Once an anomaly has been identified, we must decide what to do with it. For example, we could remove it or replace it with another value. The correct course of action is context-dependent and beyond this notebook’s scope. Removing an anomaly will likely improve the accuracy of the forecast, but it can also underestimate the amount of randomness in the data.
Tip
You can use Colab to run this Notebook interactively
Install libraries
We assume that you have StatsForecast already installed. If not, check this guide for instructions on how to install StatsForecast
Install the necessary packages using pip install statsforecast
pip install statsforecast -U
Load and explore the data
For this example, we’ll use the hourly dataset of the M4
Competition.
We’ll first import the data from
datasetsforecast,
which you can install using pip install datasetsforecast
pip install datasetsforecast -U
from datasetsforecast.m4 import M4
The function to load the data is M4.load
. It requieres the following
two arguments:
directory
: (str) The directory where the data will be downloaded.group
: (str). The group name, which can beYearly
,Quarterly
,Monthly
,Weekly
,Daily
orHourly
.
This function returns multiple outputs, but only the first one with the target series is needed.
df_total, *_ = M4.load('./data', 'Hourly')
df_total.head()
unique_id | ds | y | |
---|---|---|---|
0 | H1 | 1 | 605.0 |
1 | H1 | 2 | 586.0 |
2 | H1 | 3 | 586.0 |
3 | H1 | 4 | 559.0 |
4 | H1 | 5 | 511.0 |
The input to StatsForecast is always a data frame in long
format with
three columns: unique_id
, df
and y
.
unique_id
: (string, int or category) A unique identifier for the series.ds
: (datestamp or int) A datestamp in format YYYY-MM-DD or YYYY-MM-DD HH:MM:SS or an integer indexing time.y
: (numeric) The measurement we wish to forecast.
In this case, the unique_id
and y
columns already have the requiered
format, but we need to change the data type of the ds
column.
df_total['ds'] = df_total['ds'].astype(int)
From this dataset, we’ll select the first 8 time series to reduce the
total execution time. You can select any number you want by changing the
value of n_series
.
n_series = 8
uids = df_total['unique_id'].unique()[:n_series]
df = df_total.query('unique_id in @uids')
We can plot these series using the plot
method from the StatsForecast
class. This method has multiple parameters, and the required ones to
generate the plots in this notebook are explained below.
df
: A pandas dataframe with columns [unique_id, ds, y].forecasts_df
: A pandas dataframe with columns [unique_id, ds] and models.unique_ids
: (list[str]) A list with the ids of the time series we want to plot.plot_random
: (bool = True) Plots the time series randomly.plot_anomalies
: (bool = False) Plots anomalies for each prediction interval.engine
: (str = plotly). The library used to generate the plots. It can also be matplotlib for static plots.
from statsforecast import StatsForecast
StatsForecast.plot(df, plot_random = False)
Train model
To generate the forecast, we’ll use the
MSTL
model, which is well-suited for low-frequency data like the one used
here. We first need to import it from statsforecast.models
and then we
need to instantiate it. Since we’re using hourly data, we have two
seasonal periods: one every 24 hours (hourly) and one every 24*7 hours
(daily). Hence, we need to set season_length = [24, 24*7]
.
from statsforecast.models import MSTL
# Create a list of models and instantiation parameters
models = [MSTL(season_length = [24, 24*7])]
To instantiate a new StatsForecast object, we need the following parameters:
df
: The dataframe with the training data.models
: The list of models defined in the previous step.freq
: A string indicating the frequency of the data. See pandas’ available frequencies.n_jobs
: An integer that indicates the number of jobs used in parallel processing. Use -1 to select all cores.
sf = StatsForecast(
df = df,
models = models,
freq = 'H',
n_jobs = -1
)
We’ll now predict the next 48 hours. To do this, we’ll use the
forecast
method, which requieres the following arguments:
h
: (int) The forecasting horizon.level
: (list[float]) The confidence levels of the prediction intervalsfitted
: (bool = False) Returns insample predictions.
It is important that we select a level
and set fitted = True
since
we’ll need the insample forecasts and their prediction intervals to
detect the anomalies.
horizon = 48
levels = [99]
fcst = sf.forecast(h = 48, level = levels, fitted = True)
fcst = fcst.reset_index()
fcst.head()
unique_id | ds | MSTL | MSTL-lo-99 | MSTL-hi-99 | |
---|---|---|---|---|---|
0 | H1 | 749 | 615.943970 | 597.662170 | 634.225708 |
1 | H1 | 750 | 559.297791 | 531.316650 | 587.278931 |
2 | H1 | 751 | 515.693542 | 479.151337 | 552.235718 |
3 | H1 | 752 | 480.719269 | 436.241547 | 525.197021 |
4 | H1 | 753 | 467.146484 | 415.199738 | 519.093262 |
We can plot the forecasts using the plot
method from before.
StatsForecast.plot(df, fcst, plot_random = False)
Recover insample forecasts and identify anomalies
In this example, an anomaly will be any observation outside the
prediction interval of the insample forecasts for a given confidence
level (here we selected 99%). Hence, we first need to recover the
insample forecasts using the forecast_fitted_values
method.
insample_forecasts = sf.forecast_fitted_values().reset_index()
insample_forecasts.head()
unique_id | ds | y | MSTL | MSTL-lo-99 | MSTL-hi-99 | |
---|---|---|---|---|---|---|
0 | H1 | 1 | 605.0 | 604.924500 | 588.010376 | 621.838623 |
1 | H1 | 2 | 586.0 | 585.221802 | 568.307678 | 602.135925 |
2 | H1 | 3 | 586.0 | 589.740723 | 572.826599 | 606.654846 |
3 | H1 | 4 | 559.0 | 557.778076 | 540.863953 | 574.692200 |
4 | H1 | 5 | 511.0 | 506.747009 | 489.832886 | 523.661133 |
We can now find all the observations above or below the 99% prediction interval for the insample forecasts.
anomalies = insample_forecasts.loc[(insample_forecasts['y'] >= insample_forecasts['MSTL-hi-99']) | (insample_forecasts['y'] <= insample_forecasts['MSTL-lo-99'])]
anomalies.head()
unique_id | ds | y | MSTL | MSTL-lo-99 | MSTL-hi-99 | |
---|---|---|---|---|---|---|
168 | H1 | 169 | 813.0 | 779.849792 | 762.935669 | 796.763916 |
279 | H1 | 280 | 692.0 | 672.638123 | 655.723999 | 689.552246 |
289 | H1 | 290 | 770.0 | 792.015442 | 775.101318 | 808.929565 |
308 | H1 | 309 | 844.0 | 867.809387 | 850.895203 | 884.723511 |
336 | H1 | 337 | 853.0 | 822.427002 | 805.512878 | 839.341187 |
We can plot the anomalies by adding the plot_anomalies = True
argument
to the plot
method.
StatsForecast.plot(insample_forecasts, plot_random = False, plot_anomalies = True)
If we want to take a closer look, we can use the unique_ids
argument
to select one particular time series, for example, H10
.
StatsForecast.plot(insample_forecasts, unique_ids = ['H10'], plot_anomalies = True)
Here we identified the anomalies in the data using the MSTL model, but any probabilistic model from StatsForecast can be used. We also selected the 99% prediction interval of the insample forecasts, but other confidence levels can be used as well.