feat: Multivariate threshold using Mahalanobis distance #234
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Signed-off-by: Avik Basu <ab93@users.noreply.github.com>
ab93
added
area/ml
Signed-off-by: Avik Basu <ab93@users.noreply.github.com>
Signed-off-by: Avik Basu <ab93@users.noreply.github.com>
Signed-off-by: Avik Basu <ab93@users.noreply.github.com>
Codecov Report
@@ Coverage Diff @@
## main #234 +/- ##
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+ Coverage 96.33% 96.43% +0.10%
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Branches 157 161 +4
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Partials 20 20
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Signed-off-by: Avik Basu <ab93@users.noreply.github.com>
Signed-off-by: Avik Basu <ab93@users.noreply.github.com>
qhuai
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Jul 26, 2023
qhuai
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Jul 26, 2023
ab93
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Jul 26, 2023
| Mahalanobis distance vector | ||
| """ | ||
| x_distance = x - self._distr_mean | ||
| mahal_grid = x_distance @ self._cov_inv @ x_distance.T |
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x_distance is a matrix of shape (n_obs, n_features). _cov_inv is (n_features, n_features), mahal_grid is (n_obs, n_obs). Therefore, it works on a matrix, not a number.
qhuai
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qhuai
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qhuai
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Signed-off-by: Avik Basu <ab93@users.noreply.github.com>
Signed-off-by: Avik Basu <ab93@users.noreply.github.com>
Signed-off-by: Avik Basu <ab93@users.noreply.github.com>
s0nicboOm
approved these changes
Jul 26, 2023
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Introduce a Multivariate thresholding technique using Mahalanobis distance and Chebyshev's inequality.
Comparison added here: numaproj/numalogic-benchmarks#2