HYBRIDTEST
outlier gtsThe HYBRIDTEST
function detects outliers in a GTS (or a LIST of GTS) which has a seasonal part.
Like STLESDTEST
, HYBRIDTEST
performs an ESDTEST
onto a GTS that have been relieved of its seasonal and trend part.
But unlike the mentioned test, STL
and ESDTEST
are performed piecewise. Plus, the trend is approximated with the piecewise
median instead of the trend part of the STL
decomposition.
A LIST of ticks (or a LIST of LIST of ticks), corresponding to the outliers, is pushed back onto the stack.
This technique was first developped at Twitter.
This function only applies to bucketized
GTS of type DOUBLE.
References
- Owen Vallis, Jordan Hochenbaum, Arun Kejariwal. “A Novel Technique for Long-Term Anomaly Detection in the Cloud”, Twitter Inc (2014).
- Cleveland, Robert B., et al. “STL: A seasonal-trend decomposition procedure based on loess.” Journal of Official Statistics 6.1 (1990): 3-73.
- Rosner, Bernard (May 1983), “Percentage Points for a Generalized ESD Many-Outlier Procedure”,Technometrics, 25(2), pp. 165-172.