Linked Questions

61 votes
7 answers

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/...
gianluca's user avatar
  • 1,951
18 votes
3 answers

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 ...
jilles de wit's user avatar
15 votes
5 answers

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 ...
Mila's user avatar
  • 151
12 votes
4 answers

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 ...
Stergios's user avatar
  • 558
10 votes
2 answers

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 ...
vibe's user avatar
  • 271
8 votes
3 answers

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 ...
Bruder's user avatar
  • 699
8 votes
3 answers

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 ...
Alexander Engelhardt's user avatar
4 votes
2 answers

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 ...
Brandon Brown's user avatar
4 votes
1 answer

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) ...
user avatar
4 votes
4 answers

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 ...
dimitriy's user avatar
  • 33.5k
3 votes
1 answer

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 ...
etang's user avatar
  • 887
3 votes
1 answer

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 ...
M T's user avatar
  • 325
3 votes
0 answers

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: ...
Michele's user avatar
  • 213
3 votes
0 answers

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 ...
hello's user avatar
  • 31
3 votes
0 answers

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 ...
niko's user avatar
  • 1,353

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