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I aim to have some anomaly detection process on my data but Weka, Rapidminer or Knime do not support anomaly detection algorithms. How would I take care of the process?

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Use ELKI. It not only has tons of anomaly detection algorithms (they call them "outlier detection" though), but it also is significantly faster than the others, in particular when you used indexes.

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    $\begingroup$ but Anony , ELKI dont have any outlier detection algorithm in time series domain. they are almost all work for clustering high dimensional data , not for time series data. Erogol want outlier detection algorithm in time series domain. Which in fact, i am also figuring out , so Erogol , have have you found any algorithm in time series domain. Thanks $\endgroup$ – sash Jul 15 '13 at 15:08
  • $\begingroup$ Where is "time series" in his question? $\endgroup$ – Anony-Mousse Jul 16 '13 at 8:18
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For Venturini's (2011) outlier detection method Washer, its inventor published an R implementation here and an R package here.

Venturini, A. (2011). Time Series Outlier Detection: A New Non Parametric Methodology (Washer). Statistica 71: 329-344.

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    $\begingroup$ @ Dr Jochen L. Leidner -its considered good form to post some details of any links you supply, so that the answer can remain useful even if the link is broken. Welcome to the site $\endgroup$ – richiemorrisroe Nov 14 '12 at 18:54
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R has a full task view listing the major implementations.

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AUTOBOX http://www.autobox.com/cms/ has a selection of anomaly detection procedures including Pulse , Level/Step Shift, Time Trends ans Seasonal Pulses. These are available for both ARIMA and Transfer Function Models (XARMAX). One can specify both level of confidence and the minimum size of the anomaly that one wishes to identify. The user can also specify the minimum # of required values in a level shift. There is an R version of AUTOBOX. A distinguishing feature of AUTOBOX is that it can detect anomalies without the user having to specify a model.

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The 'car' package in R appears to be one of the best ones for advanced outlier detection. Try this code.

library(car)
    ## Linear regression
    fit <- lm(mpg~hp+wt+drat, data=mtcars)
    summary(fit)

# Residual Plotting
residualPlots(fit)  # Pearson residual ((y_i-pred_i)/sqrt(var(pred))
marginalModelPlots(fit)

fit0 <- lm(mpg~hp+wt+drat+I(hp^2)+I(wt^2), data=mtcars)
summary(fit0)
residualPlots(fit0)

### Outliers: an outlier is defined as an observation that has a large residual. 
  #In other words, the observed value for the point is very different from that 
  #predicted by the regression model.
### Leverage points: A leverage point is defined as an observation that has a 
  #value of x that is far away from the mean of x. 
### Influential observations: An influential observation is defined as an 
  #observation that changes the slope of the line. 
  #Thus, influential points have a large influence on the fit of the model.

# Outlier
outlierTest(fit) # Bonferonni p-value for most extreme obs
qqPlot(fit, main="QQ Plot", id.n=1) #qq plot for studentized resid 

# leverage
leveragePlots(fit) #A leverage plot is the plot of the residuals for the dependent variable
                    # against the residuals for a selected regressor, where the residuals 
                    # for the dependent variable are calculated with the selected regressor 
                    # omitted, and the residuals for the selected regressor are calculated 
                    # from a model where the selected regressor is regressed on the remaining regressors.
plot(hat(model.matrix(fit)))

# Influence
influenceIndexPlot(fit, id.n=3)
influencePlot(fit,col="red",id.n=3)
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