skchange 0.14.3
Sktime-compatible change and anomaly detection
Requires Python: <3.13.4,>=3.10
Keywords: data-science, machine-learning, statistics, scikit-learn, time-series, change-detection, anomaly-detection

# skchange

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[skchange]((https://skchange.readthedocs.io/en/latest/)) provides [sktime](https://www.sktime.net/)-compatible change detection and changepoint-based anomaly detection algorithms.

Experimental but maturing.


## Documentation

* [Documentation](https://skchange.readthedocs.io/)
* [Notebook tutorial](https://github.com/sktime/sktime-tutorial-pydata-global-2024)


## Installation
It is recommended to install skchange with [numba](https://numba.readthedocs.io/en/stable/) for faster performance:
```sh
pip install skchange[numba]
```

Alternatively, you can install skchange without numba:
```sh
pip install skchange
```

## Quickstart

### Changepoint detection / time series segmentation
```python
from skchange.change_detectors import MovingWindow
from skchange.datasets import generate_piecewise_normal_data

df = generate_piecewise_normal_data(
    means=[0, 5, 10, 5, 0],
    lengths=[50, 50, 50, 50, 50],
    seed=1,
)

detector = MovingWindow(bandwidth=20)
detector.fit_predict(df)
```
```python
   ilocs
0     50
1    100
2    150
3    200
```

### Multivariate anomaly detection with variable identification
```python
from skchange.anomaly_detectors import CAPA
from skchange.anomaly_scores import L2Saving
from skchange.compose.penalised_score import PenalisedScore
from skchange.datasets import generate_piecewise_normal_data
from skchange.penalties import make_linear_chi2_penalty

df = generate_piecewise_normal_data(
    means=[0, 8, 0, 5],
    lengths=[100, 20, 130, 50],
    proportion_affected=[1.0, 0.1, 1.0, 0.5],
    n_variables=10,
    seed=1,
)

score = L2Saving()  # Looks for segments with non-zero means.
penalty = make_linear_chi2_penalty(score.get_model_size(1), df.shape[0], df.shape[1])
penalised_score = PenalisedScore(score, penalty)
detector = CAPA(penalised_score, find_affected_components=True)
detector.fit_predict(df)
```
```python
        ilocs  labels         icolumns
0  [100, 120)       1              [0]
1  [250, 300)       2  [2, 0, 3, 1, 4]
```

## License

skchange is a free and open-source software licensed under the [BSD 3-clause license](https://github.com/NorskRegnesentral/skchange/blob/main/LICENSE).