Detect anomalies using the tidyverse

The anomalize() function is used to detect outliers in a distribution with no trend or seasonality present. It takes the output of time_decompose(), which has be de-trended and applies anomaly detection methods to identify outliers.

Usage

anomalize(
  data,
  target,
  method = c("iqr", "gesd"),
  alpha = 0.05,
  max_anoms = 0.2,
  verbose = FALSE
)

Arguments

data: A tibble or tbl_time object.
target: A column to apply the function to
method: The anomaly detection method. One of "iqr" or "gesd". The IQR method is faster at the expense of possibly not being quite as accurate. The GESD method has the best properties for outlier detection, but is loop-based and therefore a bit slower.
alpha: Controls the width of the "normal" range. Lower values are more conservative while higher values are less prone to incorrectly classifying "normal" observations.
max_anoms: The maximum percent of anomalies permitted to be identified.
verbose: A boolean. If TRUE, will return a list containing useful information about the anomalies. If FALSE, just returns the data expanded with the anomalies and the lower (l1) and upper (l2) bounds.

Value

Returns a tibble / tbl_time object or list depending on the value of verbose.

Details

The return has three columns: "remainder_l1" (lower limit for anomalies), "remainder_l2" (upper limit for anomalies), and "anomaly" (Yes/No).

Use time_decompose() to decompose a time series prior to performing anomaly detection with anomalize(). Typically, anomalize() is performed on the "remainder" of the time series decomposition.

For non-time series data (data without trend), the anomalize() function can be used without time series decomposition.

The anomalize() function uses two methods for outlier detection each with benefits.

IQR:

The IQR Method uses an innerquartile range of 25% and 75% to establish a baseline distribution around the median. With the default alpha = 0.05, the limits are established by expanding the 25/75 baseline by an IQR Factor of 3 (3X). The IQR Factor = 0.15 / alpha (hense 3X with alpha = 0.05). To increase the IQR Factor controling the limits, decrease the alpha, which makes it more difficult to be an outlier. Increase alpha to make it easier to be an outlier.

The IQR method is used in forecast::tsoutliers().

GESD:

The GESD Method (Generlized Extreme Studentized Deviate Test) progressively eliminates outliers using a Student's T-Test comparing the test statistic to a critical value. Each time an outlier is removed, the test statistic is updated. Once test statistic drops below the critical value, all outliers are considered removed. Because this method involves continuous updating via a loop, it is slower than the IQR method. However, it tends to be the best performing method for outlier removal.

The GESD method is used in AnomalyDection::AnomalyDetectionTs().

References

How to correct outliers once detected for time series data forecasting? Cross Validated, https://stats.stackexchange.com
Cross Validated: Simple algorithm for online outlier detection of a generic time series. Cross Validated, https://stats.stackexchange.com
Owen S. Vallis, Jordan Hochenbaum and Arun Kejariwal (2014). A Novel Technique for Long-Term Anomaly Detection in the Cloud. Twitter Inc.
Owen S. Vallis, Jordan Hochenbaum and Arun Kejariwal (2014). AnomalyDetection: Anomaly Detection Using Seasonal Hybrid Extreme Studentized Deviate Test. R package version 1.0.
Alex T.C. Lau (November/December 2015). GESD - A Robust and Effective Technique for Dealing with Multiple Outliers. ASTM Standardization News. www.astm.org/sn

Examples

if (FALSE) {
library(dplyr)

# Needed to pass CRAN check / This is loaded by default
set_time_scale_template(time_scale_template())

tidyverse_cran_downloads %>%
    time_decompose(count, method = "stl") %>%
    anomalize(remainder, method = "iqr")
}