Linked Questions
30 questions linked to/from Simple algorithm for online outlier detection of a generic time series
61
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7
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Period detection of a generic time series
This post is the continuation of another post related to a generic method for outlier detection in time series.
Basically, at this point I'm interested in a robust way to discover the periodicity/...
- 1,951
18
votes
3
answers
10k
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Robust outlier detection in financial timeseries
I'm looking for some robust techniques to remove outliers and errors (whatever the cause) from financial time-series data (i.e. tickdata).
Tick-by-tick financial time-series data is very messy. It ...
- 361
15
votes
5
answers
40k
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How to correct outliers once detected for time series data forecasting?
I'm trying to find a way of correcting outliers once I find/detect them in time series data. Some methods, like nnetar in R, give some errors for time series with big/large outliers. I already managed ...
- 151
12
votes
4
answers
2k
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Outlier Detection in Time-Series: How to reduce false positives?
I'm trying to automate outlier detection in time-series and I used a modification of the solution proposed by Rob Hyndman here.
Say, I measure daily visits to a website from various countries. For ...
- 558
10
votes
2
answers
1k
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Need advice on change point (step) detection
I have a time series with lots of steps/jumps (data file here). A plot is given below. I would like to subtract an appropriate value for each of these square wave features to bring them back down to ...
- 271
8
votes
3
answers
5k
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Outliers spotting in time series analysis, should I pre-process data or not?
My question builds on a previous post on outlier detection in generic time series, and specifically on the answer provided by the always great Rob H.
I work for a small-sized manufacturing company ...
- 699
8
votes
3
answers
2k
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How to fit a robust step function to a time series?
I have a somewhat noisy time series that hovers around different levels.
For example, the following data:
I have the solid line data available, and I would like to obtain an estimate for the dashed ...
- 4,261
4
votes
2
answers
2k
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How to identify spikes in a noisy time series?
I have time-series data of brain cell spiking. It's basically got a baseline of random noise with large spikes interspersed. I want to be able to algorithmically cluster the spike portions of the ...
- 231
4
votes
1
answer
265
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Testing for a drop in bookings
We're developing real-time alerts for fine-grained (every 5 minutes) time series bookings data, and I'm looking for the best approach to doing this. Idea is that if over the past 10–15 minutes (say) ...
user11284
4
votes
4
answers
2k
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High-Frequency Time-Series Forecast With A Lower Bound
I am helping a friend with a data project. He's interested in building a canary-in-the-coal-mine alert system for his website which tells him when the number of users dips below some critical lower ...
- 33.5k
3
votes
1
answer
2k
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Median absolute deviation only can be used for anomaly detection for time series without a trend?
I think MAD only can be used to detect anomalies for time series without a trend because it relies only a stable median to detect anomalies. It should be OK for time series with seasonality. Just seek ...
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3
votes
1
answer
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Simple algorithm for online outlier detection of a generic time series II: Daily cycle within annual
I have several years of sensor data (temperature and relative humidity) that records every 1/2 hour. When the sensor dies, it often starts throwing bad data mixed in with good data before it dies ...
- 325
3
votes
0
answers
873
views
Outlier detection of an unevenly spaced time series
I found the Rob H answer to this question very interesting and works pretty well. However, I also would like to apply this methodology to an unevenly spaced time series like the following:
...
- 213
3
votes
0
answers
148
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Application to a real life problem: identifying outliers in univariate time series data [duplicate]
I have a rather simple problem that I'm having trouble deciding an answer upon. As a student studying Statistics I'm very familiar with terminology and theory but I suppose I'm stumped on my first ...
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3
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0
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237
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Detecting outstanding events [duplicate]
Possible Duplicate:
Simple algorithm for online outlier detection of a generic time series
Observing the time series data I noticed there are some outstanding peaks (the picture below). I would ...
- 1,353