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As an enhancement for explaining anomalies, it would be helpful to inform the users whether the prior distribution of the observed time series is multi-modal or has a single mode. For instance, if the distribution has two modes, the typical value may lie between the modes and hence not constitute the most probable value.

Closes #2416.

valeriy42 added a commit to elastic/elasticsearch that referenced this pull request Jan 17, 2023
…xplanation (#92978)

The companion PR to elastic/ml-cpp#2440 adds processing of multimodal_distribution field in the anomaly score explanation. I added a changelog entry in the ml-cpp PR hence I mark this PR as a non-issue.
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Just one real observation which relates to the implementation of the check to see if the selected residual model is multimodal. I have a couple of other very minor things I'll leave up to you. Happy for you to commit without another review.

@valeriy42 valeriy42 merged commit 05e2312 into elastic:main Jan 23, 2023
@valeriy42 valeriy42 deleted the is2416-multi-modal branch January 23, 2023 14:38
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[ML] Identify multimodal prior distributions for anomaly explanation
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