Add new timeseries anomaly detection primitives #80
Labels
new primitives
A new primitive is being requested
Pending Review
The bug is not confirmed or the feature request is being considered
X-Sigma primitive:
This primitive computes the absolute error of a prediction and checks to see if its magnitude is larger than a factor of
x-sigma
wherex
is a positive integer.Edit the
timeseries_errors.py
file so that it has methods from only the NASA paper. It should be given a different name likedynamic_error_thresholding.py
For the new primitive, I will call it
sigma_error_thresholding.py
Methods needed for this primitive:
To compute the error for this method, we could use the
get_forecast_errors()
method similarly implemented in the currenttimeseries_errors.py
detect_sigma_outliers(errors, num_sigmas)
returns a list of contiguous sequences of anomalies, where each an anomaly haserrors[i] > x*sigma_error
andsigma_error = np.std(errors)
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