I am looking at a multivariate time series data, which looks like this:
I am trying to create a threshold, so that when a huge peak comes up (like the one in the picture), it will output an alert.
The resource that I've found suggested Hotelling's T2 to calculate the threshold. https://blog.pivotal.io/data-science-pivotal/products/multivariate-time-series-forecasting-for-virtual-machine-capacity-planning
So, does anyone know if there's any packages or functions for Hotelling's T2 in python. I've checked pandas, numpy and statsmodels, but can't find any. Not sure if it's under a different name or something.
Thanks for the help