Peaks-Over-Threshold (POT)#

class oats.threshold.pot.POTThreshold(**kwargs)[source]#

Bases: Threshold

Fit the tails of the data with Generalized Pareto Distribution (GPD). Find the threshold where P(thres) < q. Usual values for q is 1e-3 to 1e-6.

Siffer, Alban and Fouque, Pierre-Alain and Termier, Alexandre and Largouet, Christine “Anomaly Detection in Streams with Extreme Value Theory” https://doi.org/10.1145/3097983.3098144

fit(data)[source]#
get_threshold(data, q: float = 0.0001, tail_level: float = 0.95)[source]#
Parameters:

  • data (np.ndarray) – array of data/anomaly scores

  • q (float, optional) – q level such that P(threshold) < q. Defaults to 1e-4.

  • tail_level (float, optional) – threshold to fit tail distribution. Defaults to 0.95.

Returns:

array of thresholds

Return type:

np.ndarray