This notebook shows you how to refine TimeGPT’s anomaly detection process. By tuning parameters, you can align anomaly detection with specific use cases and improve accuracy.

Why Anomaly Detection?

TimeGPT leverages forecast errors to identify anomalies in your time-series data. By optimizing parameters, you can detect subtle deviations and customize results for specific use cases.

Key Parameters

• detection_size determines data window size for threshold calculation.
• level sets confidence intervals for anomaly thresholds.
• freq aligns detection with data frequency (e.g., “D” for daily).

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1. Install and Import Dependencies

In your environment, install and import the necessary libraries:

Import Dependencies
import pandas as pd
from nixtla import NixtlaClient
import matplotlib.pyplot as plt
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2. Initialize the Nixtla Client

Create an instance of NixtlaClient with your API key:

Initialize Nixtla Client
nixtla_client = NixtlaClient(api_key='my_api_key_provided_by_nixtla')  # Replace with your Nixtla API key

If you are using an Azure AI endpoint, set the base_url parameter:

Azure AI Endpoint Setup
nixtla_client = NixtlaClient(
    base_url="your azure ai endpoint",
    api_key="your api_key"
)
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3. Conduct a baseline detection

Load a portion of the Peyton Manning dataset to illustrate the default anomaly detection process:

Load Dataset
df = pd.read_csv(
    'https://datasets-nixtla.s3.amazonaws.com/peyton-manning.csv',
    parse_dates=['ds']
).tail(200)

df.head()
xunique_iddsy
276402015-07-056.499787
276502015-07-066.859615
276602015-07-076.881411
276702015-07-086.997596
276802015-07-097.152269
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4. Fine-tuned detection

TimeGPT detects anomalies based on forecast errors. By improving your model’s forecasts, you can strengthen anomaly detection performance. The following parameters can be fine-tuned:

• finetune_steps: Number of additional training iterations
• finetune_depth: Depth level for refining the model
• finetune_loss: Loss function used during fine-tuning

Fine-tuning Anomaly Detection
anomaly_online_ft = nixtla_client.detect_anomalies_online(
    df,
    freq='D',
    h=14,
    level=80,
    detection_size=150,
    finetune_steps=10,
    finetune_depth=2,
    finetune_loss='mae'
)

Fine-tuned TimeGPT Anomaly Detection

5

5. Adjusting Forecast Horizon and Step Size

You can refine the resolution and sensitivity of anomaly detection by modifying forecast horizon (h) and the interval between detection windows (step_size).

Adjusting Horizon and Step Size
anomaly_df_horizon = nixtla_client.detect_anomalies_online(
    df,
    time_col='ds',
    target_col='y',
    freq='D',
    h=2,
    step_size=1,
    level=80,
    detection_size=150
)

Adjusted Horizon and Step Size Visualization

Choosing h and step_size depends on the nature of your data:
• Frequent or short anomalies: Use smaller h and step_size
• Smooth or longer trends: Choose larger h and step_size

You have successfully refined anomaly detection using TimeGPT. Experiment with different fine-tuning strategies, horizons, and step sizes to tailor alerts for your unique data patterns.