kcpdi 0.1.1
Linear kernel anomaly/change-point detection in multidimensional time series data
Requires Python: <3.13,>=3.11

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    <h1 style="font-size: large; font-weight: bold;">Kernel-change-point-detection</h1>
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Kernel change point detection is a python library used for anomaly detection on time-series.

## Getting started

This library has been tested on Python 3.11 and 3.12.

### Setting environement
```bash
pip install virtualenv
virtualenv -p <path/to/python3.11> myenv
source myenv/bin/activate
```
### Installation
Once your virtual environment is activated, you can install the Kernel-point-change-detection library directly from Pypi by typing :

```bash
pip install kcpdi
```

This command will install the kcpdi package and all required dependencies.
Within your python code, you can then access the library functions by using the following import statement:

```
import kcpdi
```

## Usage

Our algorithm takes pre-processed (interpolated to a fixed time grid, normalized, etc.) and offline (not streaming) multidimensional time series data and runs linear kernel anomaly/change-point detection on it in order to output a list of likely anomaly/change-points in time.
The method is based on results in Arlot et al. (2019).

We have started to develop automated post-hoc visualization tools in order to provide intuitive explicability in the output results in order to attribute a ranked (in terms of importance) list of individual time series for each detected anomaly/change-point. This is because it is otherwise difficult to know 'why' a change-point was detected at a certain point if there are hundreds or thousands of individual concurrent time series. The latter tool is semi-dependent of the anomaly/change-point detection step.

## Examples and demonstrators

The following [notebook](examples/Example.ipynb) incorporates the most important features:

## TADkit link

In order to allow the kernel change-point method to be compatible with the Time-series Anomaly Detection kit [TADkit](https://github.com/IRT-SystemX/tadkit-core), we have implemented a function **kcp_ss** which takes the **kcp_ds** output list of change-points and turns them into scores at **all time indices**.

We give a score of 1 at each detected change-point. We define a decay_parameter $γ$ (default $γ = 1$). Then :

- For any time index that exactly corresponds to a detected change-point index, its score is 1.

- For any time index $t_x$ before the first detected change-point time index $t_1$, its score is :

 $$\left(\frac{1}{2}\right)^{\gamma |t_1 - t_x|}$$

- For any time index $t_x$ after the last detected change-point time index $t_{last}$ its score is : 

$$\left(\frac{1}{2}\right)^{\gamma |t_{last} - t_x|}$$

- For any time index $t_x$ between change-point time indices $t_{j}$ and $t_{j+1}$ , its score is the average of the left and right scores : 

$$ \frac{1}{2}\left(\left(\frac{1}{2}\right)^{\gamma |t_{j} - t_{x}|} + \left(\frac{1}{2}\right)^{\gamma |t_{j+1}-t_{x}|} \right) $$




## Contributors and Support

Responsible : **Kevin Bleakley, Sylvain Arlot (INRIA)**


Kernel change point detection is a library developed by 
<a href="https://www.inria.fr/en/">
  <img src="https://avatars.githubusercontent.com/u/2951919?s=200&v=4" alt="INRIA" width="60"/>
</a>
and supported by the
<a href="https://www.trustworthy-ai-foundation.eu/" title="European Trustworthy AI association">
<img src="https://media.licdn.com/dms/image/v2/D4E0BAQGzfvLxz3sS8Q/company-logo_200_200/B4EZfkq1KLHwAI-/0/1751888122857/european_trustworthy_ai_foundation_logo?e=1759968000&v=beta&t=L2BNgzJNtZeWxHyrU_8Ap3VhrJ_9MdZmh-75IDQIMDc"  height="90">
</a>