Type: Package
Title: Leave One Out Kernel Density Estimates for Outlier Detection
Version: 0.1.4
Maintainer: Sevvandi Kandanaarachchi <sevvandik@gmail.com>
Description: Outlier detection using leave-one-out kernel density estimates and extreme value theory. The bandwidth for kernel density estimates is computed using persistent homology, a technique in topological data analysis. Using peak-over-threshold method, a generalized Pareto distribution is fitted to the log of leave-one-out kde values to identify outliers.
License: GPL-3
Encoding: UTF-8
RoxygenNote: 7.2.1
Imports: TDAstats, evd, RANN, ggplot2, tidyr
Suggests: knitr, rmarkdown
URL: https://sevvandi.github.io/lookout/
NeedsCompilation: no
Packaged: 2022-10-13 23:23:55 UTC; kan092
Author: Sevvandi Kandanaarachchi ORCID iD [aut, cre], Rob Hyndman ORCID iD [aut], Chris Fraley [ctb]
Repository: CRAN
Date/Publication: 2022-10-14 00:10:02 UTC

lookout: Leave One Out Kernel Density Estimates for Outlier Detection

Description

logo

Outlier detection using leave-one-out kernel density estimates and extreme value theory. The bandwidth for kernel density estimates is computed using persistent homology, a technique in topological data analysis. Using peak-over-threshold method, a generalized Pareto distribution is fitted to the log of leave-one-out kde values to identify outliers.

Author(s)

Maintainer: Sevvandi Kandanaarachchi sevvandik@gmail.com (ORCID)

Authors:

Other contributors:

See Also

Useful links:

Plots outliers identified by lookout algorithm.

Description

Scatterplot of two columns from the data set with outliers highlighted.

Usage

## S3 method for class 'lookoutliers'
autoplot(object, columns = 1:2, ...)

Arguments

object

The output of the function 'lookout'.

columns

Which columns of the original data to plot (specified as either numbers or strings)

...

Other arguments currently ignored.

Value

A ggplot object.

Examples

X <- rbind(
  data.frame(x = rnorm(500),
             y = rnorm(500)),
  data.frame(x = rnorm(5, mean = 10, sd = 0.2),
             y = rnorm(5, mean = 10, sd = 0.2))
)
lo <- lookout(X)
autoplot(lo)

Plots outlier persistence for a range of significance levels.

Description

This function plots outlier persistence for a range of significance levels using the algorithm lookout, an outlier detection method that uses leave-one-out kernel density estimates and generalized Pareto distributions to find outliers.

Usage

## S3 method for class 'persistingoutliers'
autoplot(object, alpha = object$alpha, ...)

Arguments

object

The output of the function 'persisting_outliers'.

alpha

The significance levels to plot.

...

Other arguments currently ignored.

Value

A ggplot object.

Examples

X <- rbind(
  data.frame(
    x = rnorm(500),
    y = rnorm(500)
  ),
  data.frame(
    x = rnorm(5, mean = 10, sd = 0.2),
    y = rnorm(5, mean = 10, sd = 0.2)
  )
)
plot(X, pch = 19)
outliers <- persisting_outliers(X, unitize = FALSE)
autoplot(outliers)

Identifies outliers using the algorithm lookout.

Description

This function identifies outliers using the algorithm lookout, an outlier detection method that uses leave-one-out kernel density estimates and generalized Pareto distributions to find outliers.

Usage

lookout(X, alpha = 0.05, unitize = TRUE, bw = NULL, gpd = NULL, fast = TRUE)

Arguments

X

The input data in a dataframe, matrix or tibble format.

alpha

The level of significance. Default is 0.05.

unitize

An option to normalize the data. Default is TRUE, which normalizes each column to [0,1].

bw

Bandwidth parameter. Default is NULL as the bandwidth is found using Persistent Homology.

gpd

Generalized Pareto distribution parameters. If 'NULL' (the default), these are estimated from the data.

fast

If set to TRUE, makes the computation faster by sub-setting the data for the bandwidth calculation.

Value

A list with the following components:

outliers

The set of outliers.

outlier_probability

The GPD probability of the data.

outlier_scores

The outlier scores of the data.

bandwidth

The bandwdith selected using persistent homology.

kde

The kernel density estimate values.

lookde

The leave-one-out kde values.

gpd

The fitted GPD parameters.

Examples

X <- rbind(
  data.frame(x = rnorm(500),
             y = rnorm(500)),
  data.frame(x = rnorm(5, mean = 10, sd = 0.2),
             y = rnorm(5, mean = 10, sd = 0.2))
)
lo <- lookout(X)
lo
autoplot(lo)

Identifies outliers in univariate time series using the algorithm lookout.

Description

This is the time series implementation of lookout.

Usage

lookout_ts(x, alpha = 0.05)

Arguments

x

The input univariate time series.

alpha

The level of significance. Default is 0.05.

Value

A lookout object.

See Also

lookout

Examples

set.seed(1)
x <- arima.sim(list(order = c(1,1,0), ar = 0.8), n = 200)
x[50] <- x[50] + 10
plot(x)
lo <- lookout_ts(x)
lo

Computes outlier persistence for a range of significance values.

Description

This function computes outlier persistence for a range of significance values, using the algorithm lookout, an outlier detection method that uses leave-one-out kernel density estimates and generalized Pareto distributions to find outliers.

Usage

persisting_outliers(
  X,
  alpha = seq(0.01, 0.1, by = 0.01),
  st_qq = 0.9,
  unitize = TRUE,
  num_steps = 20
)

Arguments

X

The input data in a matrix, data.frame, or tibble format. All columns should be numeric.

alpha

Grid of significance levels.

st_qq

The starting quantile for death radii sequence. This will be used to compute the starting bandwidth value.

unitize

An option to normalize the data. Default is TRUE, which normalizes each column to [0,1].

num_steps

The length of the bandwidth sequence.

Value

A list with the following components:

out

A 3D array of N x num_steps x num_alpha where N denotes the number of observations, num_steps denote the length of the bandwidth sequence and num_alpha denotes the number of significance levels. This is a binary array and the entries are set to 1 if that observation is an outlier for that particular bandwidth and significance level.

bw

The set of bandwidth values.

gpdparas

The GPD parameters used.

lookoutbw

The bandwidth chosen by the algorithm lookout using persistent homology.

Examples

X <- rbind(
  data.frame(x = rnorm(500),
             y = rnorm(500)),
  data.frame(x = rnorm(5, mean = 10, sd = 0.2),
             y = rnorm(5, mean = 10, sd = 0.2))
)
plot(X, pch = 19)
outliers <- persisting_outliers(X, unitize = FALSE)
outliers
autoplot(outliers)

Objects exported from other packages

Description

These objects are imported from other packages. Follow the links below to see their documentation.

ggplot2

autoplot

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