1. A method of identifying with a non-intrusive load monitoring apparatus consumption of a utility by devices in a group of devices, wherein each device in the group of devices has a plurality of device-states and is arranged to consume the utility, the method comprising, for a given measurement period in a supply of the utility to the group of devices: configuring a non-transitory memory to receive and store a predetermined mean vector, μ d , for each device of a plurality of devices within the group of devices, each predetermined mean vector being a time-based vector of levels of consumption of the utility by that device during a predetermined measurement period for each device-state of the plurality of devices-states for that device; providing an input module configured to operate with a utility sensor that measures consumption of the utility by the group of devices, the input module obtaining a time-based vector of total levels of consumption of the utility by the group of devices during the given measurement period; receiving the predetermined mean vector, μ d , for each device of the plurality of devices within the group of devices, wherein each predetermined mean vector, μ d , is provided other than by the utility sensor that measures consumption of the utility by the group of devices; calculating with a processor, for each of a plurality of group-states, wherein each group-state corresponds to each device in the group of devices being in a corresponding device-state, a score representing a likelihood that the group of devices is in the group-state during the given measurement period, wherein said score is based on a likelihood of the obtained vector occurring based on a multivariate statistical model that incorporates the predetermined mean vectors, corresponding to the group-state, of the total level of consumption of the utility by the group of devices during a measurement period in the supply of the utility to the group of devices when the group of devices is in the group-state; identifying, based at least in part on the calculated scores, a most likely group-state for the group of devices; and identifying consumption of the utility by an individual device in the group of devices based at least in part on the most likely group-state for the group of devices, wherein the non-intrusive load monitoring apparatus is automatically calibrated for identifying the consumption of the utility by receiving the predetermined mean vector, μ d , for each device of the plurality of devices.