anomalize | R Documentation |
The anomalize()
function is used to detect outliers in a distribution
with no trend or seasonality present. It takes the output of time_decompose()
,
which has be de-trended and applies anomaly detection methods to identify outliers.
anomalize(
data,
target,
method = c("iqr", "gesd"),
alpha = 0.05,
max_anoms = 0.2,
verbose = FALSE
)
data |
A |
target |
A column to apply the function to |
method |
The anomaly detection method. One of |
alpha |
Controls the width of the "normal" range. Lower values are more conservative while higher values are less prone to incorrectly classifying "normal" observations. |
max_anoms |
The maximum percent of anomalies permitted to be identified. |
verbose |
A boolean. If |
The return has three columns: "remainder_l1" (lower limit for anomalies), "remainder_l2" (upper limit for anomalies), and "anomaly" (Yes/No).
Use time_decompose()
to decompose a time series prior to performing
anomaly detection with anomalize()
. Typically, anomalize()
is
performed on the "remainder" of the time series decomposition.
For non-time series data (data without trend), the anomalize()
function can
be used without time series decomposition.
The anomalize()
function uses two methods for outlier detection
each with benefits.
IQR:
The IQR Method uses an innerquartile range of 25% and 75% to establish a baseline distribution around
the median. With the default alpha = 0.05
, the limits are established by expanding
the 25/75 baseline by an IQR Factor of 3 (3X). The IQR Factor = 0.15 / alpha (hense 3X with alpha = 0.05).
To increase the IQR Factor controling the limits, decrease the alpha, which makes
it more difficult to be an outlier. Increase alpha to make it easier to be an outlier.
The IQR method is used in forecast::tsoutliers()
.
GESD:
The GESD Method (Generlized Extreme Studentized Deviate Test) progressively eliminates outliers using a Student's T-Test comparing the test statistic to a critical value. Each time an outlier is removed, the test statistic is updated. Once test statistic drops below the critical value, all outliers are considered removed. Because this method involves continuous updating via a loop, it is slower than the IQR method. However, it tends to be the best performing method for outlier removal.
The GESD method is used in AnomalyDection::AnomalyDetectionTs()
.
Returns a tibble
/ tbl_time
object or list depending on the value of verbose
.
Alex T.C. Lau (November/December 2015). GESD - A Robust and Effective Technique for Dealing with Multiple Outliers. ASTM Standardization News. www.astm.org/sn
Anomaly Detection Methods (Powers anomalize
)
iqr()
gesd()
Time Series Anomaly Detection Functions (anomaly detection workflow):
time_decompose()
time_recompose()
## Not run:
library(dplyr)
# Needed to pass CRAN check / This is loaded by default
set_time_scale_template(time_scale_template())
data(tidyverse_cran_downloads)
tidyverse_cran_downloads %>%
time_decompose(count, method = "stl") %>%
anomalize(remainder, method = "iqr")
## End(Not run)
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