hanr_garch: Anomaly detector using GARCH

In harbinger: A Unified Time Series Event Detection Framework

Anomaly detector using GARCH

Description

Anomaly detection using GARCH The GARCH model adjusts to the time series. Observations distant from the model are labeled as anomalies. It wraps the ugarch model presented in the rugarch library.

Usage

hanr_garch()

Value

hanr_garch object

Examples

library(daltoolbox)

#loading the example database
data(examples_anomalies)

#Using simple example
dataset <- examples_anomalies$simple
head(dataset)

# setting up time series regression model
model <- hanr_garch()

# fitting the model
model <- fit(model, dataset$serie)

detection <- detect(model, dataset$serie)

# filtering detected events
print(detection[(detection$event),])

harbinger documentation built on June 22, 2024, 7:38 p.m.