ULSIF

ULSIF is the alpha=0 specialization of the package's RuLSIF detector. It estimates an ordinary density ratio between neighboring groups of subsequences using unconstrained least-squares importance fitting.

Parameters

window_length : int, default 10

Length of each subsequence used as one density-estimation sample.

n_windows : int, default 50

Number of subsequences in each compared group.

lag : int, optional

Separation between comparison regions. The wrapped RuLSIF detector defaults to n_windows.

estimation_lag : int, optional

Reserved for hyperparameter re-estimation; currently not used by the wrapped estimator.

scoring_step : int, default 1

Intended distance between evaluated positions. The current wrapper stores but does not forward this value.

n_kernels : int, default 100

Reserved kernel-count setting; currently not consumed by the wrapped estimator.

symmetric : bool, default True

Sum forward and reverse density-ratio scores.

Methods

transform(time_series)

time_series : numpy.ndarray, shape (n_samples,)

One-dimensional signal.

Returns

score : numpy.ndarray, shape (n_samples,)

Density-change score returned by RuLSIF with alpha=0.

Minimal Example

import numpy as np
from changepoynt.algorithms.ulsif import ULSIF

rng = np.random.default_rng(4)
signal = np.r_[rng.normal(0, 1, 40), rng.normal(0, 2, 40)]
score = ULSIF(window_length=3, n_windows=5,
              symmetric=False).transform(signal)

References: Kanamori, Hido, and Sugiyama (2009), Liu et al. (2013).