esd
Syntax
esd(data, [hybrid], [maxAnomalies], [alpha])
Arguments
data is a numeric vector.
hybrid (optional) is a Boolean value indicating whether to use median and median absolute deviation to replace mean and standard deviation. The results are more robust if hybrid=true. The default value is false.
-
If maxAnomalies is a positive integer, it must be smaller than the size of data. It indicates the upper bound of the number of anomalies.
-
If maxAnomalies is a floating-point number between 0 and 0.5, the upper bound of the number of anomalies is
int(size(data) * maxAnomalies).
alpha (optional) is a positive number indicating the significance level of the statistical test. A larger alpha means a higher likelihood of detecting anomalies.
Details
Conduct anomaly detection with the Extreme Studentized Deviate test (ESD).
Return value: a table with 2 columns where column index records the subscript of anomalies in data and column anoms are the anomaly values.
Examples
n = 1000
ts = rand(10.0, n)
ts[500 600 700 999] += 20
esd(ts);| index | anoms |
|---|---|
| 600 | 29.815742 |
| 700 | 25.517493 |
| 500 | 25.17515 |
| 999 | 24.748516 |