otsad

Online Time Series Anomaly Detectors

This package provides anomaly detectors in the context of online time series and their evaluation with the Numenta score.

Installation

Dependencies

CAD-OSE algorithm is implemented in Python. It uses bencode library in the hashing step. This dependency can be installed with the Python package manager pip.

$ sudo pip install bencode-python3

otsad package

You can install the released version of otsad from CRAN with:

# Get the released version from CRAN
install.packages("otsad")

# Get the latest development version from GitHub
devtools::install_github("alaineiturria/otsad")

Most useful functions

Detectors

• PEWMA
  • Offline: CpPewma
  • Online: IpPewma
• SD-EWMA
  • Offline: CpSdEwma
  • Online: IpSdEwma
• TSSD-EWMA
  • Offline: CpTsSdEwma
  • Online: IpTsSdEwma
• KNN-ICAD
  • Offline: CpKnnCad(ncm.type = "ICAD")
  • Online: IpKnnCad(ncm.type = "ICAD")
• KNN-LDCD
  • Offline CpKnnCad(ncm.type = "LDCD")
  • Online: IpKnnCad(ncm.type = "LDCD")
• CAD-OSE
  • Offline and Online: ContextualAnomalyDetector

NAB score

• Get score: GetDetectorScore
• Normalize score: NormalizeScore + GetNullAndPerfectScores

False Positve Reduction

• Offline and Online: ReduceAnomalies

Static or interactive visualizations

• Offline: PlotDetections

NOTE: As usual in R, the documentation pages for each function can be loaded from the command line with the commands ? or help:

?CpSdEwma
help(CpSdEwma)

Example

This is a basic example of the use of otsad package:

library(otsad)

## basic example code

# Generate data
set.seed(100)
n <- 500
x <- sample(1:100, n, replace = TRUE)
x[70:90] <- sample(110:115, 21, replace = TRUE) # distributional shift
x[25] <- 200 # abrupt transient anomaly
x[320] <- 170 # abrupt transient anomaly
df <- data.frame(timestamp = 1:n, value = x)

# Apply classic processing SD-EWMA detector
result <- CpSdEwma(data = df$value, n.train = 5, threshold = 0.01, l = 3)

res <- cbind(df, result)
PlotDetections(res, title = "SD-EWMA ANOMALY DETECTOR", return.ggplot = TRUE)

See plotly interactive graph

For more details, see otsad documentation and vignettes.