esd

Syntax

esd(data, [hybrid], [maxAnomalies], [alpha])

Arguments

data is a numeric vector.

hybrid is a Boolean value indicating whether to use median and median absolute deviation to replace mean and standard deviation. The results are more robust if hybrid=true. The default value is false.

maxAnomalies is a positive integer or a floating number between 0 and 0.5. The default value is 0.1.

  • If maxAnomalies is a positive integer, it must be smaller than the size of data. It indicates the upper bound of the number of anomalies.

  • If maxAnomalies is a floating number between 0 and 0.5, the upper bound of the number of anomalies is int(size(data) * maxAnomalies).

alpha is a positive number indicating the significance level of the statistical test. A larger alpha means a higher likelihood of detecting anomalies.

Details

Conduct anomaly detection with the Extreme Studentized Deviate test (ESD).

The result is a table of anomalies. It has 2 columns: column index records the subscript of anomalies in data, and column anoms are the anomaly values.

Examples

$ n = 1000
$ ts = rand(10.0, n)
$ ts[500 600 700 999] += 20
$ esd(ts);

index

anoms

600

29.815742

700

25.517493

500

25.17515

999

24.748516