seasonalEsd
Syntax
seasonalEsd(data, period, [hybrid], [maxAnomalies], [alpha])
Arguments
data is a numeric vector.
period is an integer larger than 1 indicating the length of a time-series cycle.
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 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 Seasoned Extreme Studentized Deviate test (S-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 = 100
$ trend = 6 * sin(1..n \ 200)
$ seasonal = sin(pi / 6 * 1..n)
$ residual = rand(1.0, n) - 0.5
$ data = trend + seasonal + residual
$ data[20 50 70] += 20;
$ seasonalEsd(data, 12);
index |
anoms |
|---|---|
50 |
22.6365 |
70 |
21.141346 |
20 |
19.174165 |