Anomaly Scoring for Multivariate Time Series

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Documentation for package ‘AnomalyScore’ version 0.1

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all_bands Pairwise band generation in a multivariate time series
Anomalyscoresframe Anomaly score computation for a set of distances
Cort Temporal correlation coefficient
DEcort Distance based on value and behavior of the time series
DEcortNorm Normalized version of the Cort distance the modification is based on using the coefficient of variation rather than euclidean distance, performed by normalizing by the absolute value of the total differences of the series.
distance_matrix_banddepth Pairwise distance matrix based on the band depth distance
distance_matrix_CGCI Pairwise distance matrix based on the conditional Granger causality index
distance_matrix_coherence Distance matrix from a coherence measure
distance_matrix_cort Distance matrix from a pattern recognition distance
distance_matrix_cortNorm Normalized distance matrix from a pattern recognition distance
distance_matrix_dtw Normalized distance matrix from dynamic time-warping distance
distance_matrix_mahalanobis Pairwise distance matrix based on the mahalanobis distance
distance_matrix_mvLWS Pairwise distance matrix based on the multivariate locally wavelet partial coherence
distance_matrix_PDC Distance matrix from a partial directed coherence measure (PDC)
distance_matrix_PMIME Pairwise distance matrix based on the partial mutual information of mixed embedings (PMIME) method
distance_matrix_RGPDC Pairwise distance matrix based on the restricted generalized partial directed coherence
distance_matrix_wasserstein Distance matrix from based on the Wasserstein distance
DTWcort Extention of the dynamic time warping distance
dxy_bands Band depth distance between 2 time series given a set of bands
informative_bands indexes where a series is within a specific band
kneighbors_distance_docall K-Nearest neighbors algorithm to compute an anomaly score
matrix_PDC Partial directed coherence matrix
mBTS modified Back-in-time Selection for vector AR parameters estimation
mBTSCGCI computation of the conditional Granger causality index
mBTSRGPDC Restricted Generalized Partial Directed Coherence
mBTS_Af_mat mBTS Vector Autoregressive coefficients fourier transform
multilagmatrix multilagmatrix
PMIME PMIME Partial mutual information from mixed embedding
sqnorms Quadratic multiplication of a matrix M with respect to a matrix A: Conj(M) A M, where Conj() is the complex conjugate function