Module: AnomalyDetection

Defined in:
lib/anomaly_detection.rb,
lib/anomaly_detection/version.rb

Constant Summary collapse

VERSION = 
"0.3.0"

Class Method Summary collapse

Class Method Details

.detect(series, period:, max_anoms: 0.1, alpha: 0.05, direction: "both", plot: false, verbose: false) ⇒ Object

Raises:

  • (ArgumentError) 


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# File 'lib/anomaly_detection.rb', line 9

def detect(series, period:, max_anoms: 0.1, alpha: 0.05, direction: "both", plot: false, verbose: false)
  if period == :auto
    period = determine_period(series)
    puts "Set period to #{period}" if verbose
  elsif period.nil?
    period = 1
  end

  raise ArgumentError, "series must contain at least 2 periods" if series.size < period * 2

  if series.is_a?(Hash)
    sorted = series.sort_by { |k, _| k }
    x = sorted.map(&:last)
  else
    x = series
  end

  # flush Ruby output since std::endl flushes C++ output
  $stdout.flush if verbose

  res = _detect(x, period, max_anoms, alpha, direction, verbose)
  res.map! { |i| sorted[i][0] } if series.is_a?(Hash)
  res
end

.determine_period(series) ⇒ Object

determine period based on time keys (experimental) in future, could use an approach that looks at values like stats.stackexchange.com/a/1214



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# File 'lib/anomaly_detection.rb', line 79

def determine_period(series)
  unless series.is_a?(Hash)
    raise ArgumentError, "series must be a hash for :auto period"
  end

  times = series.keys.map(&:to_time)

  second = times.all? { |t| t.nsec == 0 }
  minute = second && times.all? { |t| t.sec == 0 }
  hour = minute && times.all? { |t| t.min == 0 }
  day = hour && times.all? { |t| t.hour == 0 }
  week = day && times.map { |k| k.wday }.uniq.size == 1
  month = day && times.all? { |k| k.day == 1 }
  quarter = month && times.all? { |k| k.month % 3 == 1 }
  year = quarter && times.all? { |k| k.month == 1 }

  period =
    if year
      1
    elsif quarter
      4
    elsif month
      12
    elsif week
      52
    elsif day
      7
    elsif hour
      24 # or 24 * 7
    elsif minute
      60 # or 60 * 24
    elsif second
      60 # or 60 * 60
    end

  if series.size < period * 2
    1
  else
    period
  end
end

.plot(series, anomalies) ⇒ Object

TODO add tooltips



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# File 'lib/anomaly_detection.rb', line 35

def plot(series, anomalies)
  require "vega"

  data =
    if series.is_a?(Hash)
      series.map { |k, v| {x: iso8601(k), y: v, anomaly: anomalies.include?(k)} }
    else
      series.map.with_index { |v, i| {x: i, y: v, anomaly: anomalies.include?(i)} }
    end

  if series.is_a?(Hash)
    x = {field: "x", type: "temporal"}
    x["scale"] = {type: "utc"} if series.keys.first.is_a?(Date)
  else
    x = {field: "x", type: "quantitative"}
  end

  Vega.lite
    .data(data)
    .layer([
      {
        mark: {type: "line"},
        encoding: {
          x: x,
          y: {field: "y", type: "quantitative", scale: {zero: false}},
          color: {value: "#fa9088"}
        }
      },
      {
        transform: [{"filter": "datum.anomaly == true"}],
        mark: {type: "point", size: 200},
        encoding: {
          x: x,
          y: {field: "y", type: "quantitative"},
          color: {value: "#19c7ca"}
        }
      }
    ])
    .config(axis: {title: nil, labelFontSize: 12})
end