[Python] Hotelling's T-squared anomaly detection

HotelligT2.py

#!/usr/bin/env python

import numpy as np
from scipy import stats


class HotellingsT2(object):
    def __init__(self, alpha):
        self.anomaly_score_threshold = stats.chi2.ppf(q=(1 - alpha), df=1)

    def is_anomaly_1dim(self, new_x, normal_x):
        anomaly_score = (new_x - np.mean(normal_x)) ** 2 / np.var(normal_x)
        return anomaly_score > self.anomaly_score_threshold