GenTSAnomVars: GenTSAnomVars

In AdrianAntico/RemixAutoML: AutoQuant

GenTSAnomVars

Description

GenTSAnomVars is an automated z-score anomaly detection via GLM-like procedure. Data is z-scaled and grouped by factors and time periods to determine which points are above and below the control limits in a cumulative time fashion. Then a cumulative rate is created as the final variable. Set KeepAllCols to FALSE to utilize the intermediate features to create rolling stats from them. The anomalies are separated into those that are extreme on the positive end versus those that are on the negative end.

Usage

GenTSAnomVars(
  data,
  ValueCol = "Value",
  GroupVars = NULL,
  DateVar = "DATE",
  HighThreshold = 1.96,
  LowThreshold = -1.96,
  KeepAllCols = TRUE,
  IsDataScaled = FALSE
)

Arguments

data	the source residuals data.table
ValueCol	the numeric column to run anomaly detection over
GroupVars	this is a group by variable
DateVar	this is a time variable for grouping
HighThreshold	this is the threshold on the high end
LowThreshold	this is the threshold on the low end
KeepAllCols	set to TRUE to remove the intermediate features
IsDataScaled	set to TRUE if you already scaled your data

Value

The original data.table with the added columns merged in. When KeepAllCols is set to FALSE, you will get back two columns: AnomHighRate and AnomLowRate - these are the cumulative anomaly rates over time for when you get anomalies from above the thresholds (e.g. 1.96) and below the thresholds.

Author(s)

Adrian Antico

See Also

Other Unsupervised Learning: ResidualOutliers()

Examples

## Not run: 
data <- data.table::data.table(
  DateTime = as.Date(Sys.time()),
  Target = stats::filter(
    rnorm(10000, mean = 50, sd = 20),
  filter=rep(1,10),
  circular=TRUE))
data[, temp := seq(1:10000)][, DateTime := DateTime - temp][
  , temp := NULL]
data <- data[order(DateTime)]
x <- data.table::as.data.table(sde::GBM(N=10000)*1000)
data[, predicted := x[-1,]]
data[, Fact1 := sample(letters, size = 10000, replace = TRUE)]
data[, Fact2 := sample(letters, size = 10000, replace = TRUE)]
data[, Fact3 := sample(letters, size = 10000, replace = TRUE)]
stuff <- GenTSAnomVars(
  data,
  ValueCol = "Target",
  GroupVars = c("Fact1","Fact2","Fact3"),
  DateVar = "DateTime",
  HighThreshold = 1.96,
  LowThreshold = -1.96,
  KeepAllCols = TRUE,
  IsDataScaled  = FALSE)

## End(Not run)

AdrianAntico/RemixAutoML documentation built on Feb. 3, 2024, 3:32 a.m.