Skip to content
This repository was archived by the owner on Dec 18, 2019. It is now read-only.

replace ADF test with Ljung-Box test for no autocorrelation #67

Open
wants to merge 2 commits into
base: master
Choose a base branch
from
Open

replace ADF test with Ljung-Box test for no autocorrelation #67

Changes from 1 commit
Commits
Show all changes
2 commits
Select commit Hold shift + click to select a range
565b056
replace ADF test with Ljung-Box test for no autocorrelation
mabrek Oct 19, 2013
42b0b6f
remove extra space after keyword
mabrek Oct 26, 2013
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
8 changes: 4 additions & 4 deletions src/analyzer/algorithms.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -207,8 +207,8 @@ def ks_test(timeseries):
"""
A timeseries is anomalous if 2 sample Kolmogorov-Smirnov test indicates
that data distribution for last 10 minutes is different from last hour.
It produces false positives on non-stationary series so Augmented
Dickey-Fuller test applied to check for stationarity.
It produces false positives on series with trends so Ljung-Box test for
no autocorrelation is used to filter them out.
"""

hour_ago = time() - 3600
Expand All @@ -222,8 +222,8 @@ def ks_test(timeseries):
ks_d, ks_p_value = scipy.stats.ks_2samp(reference, probe)

if ks_p_value < 0.05 and ks_d > 0.5:
adf = sm.tsa.stattools.adfuller(reference, 10)
if adf[1] < 0.05:
_, ljp = sm.stats.diagnostic.acorr_ljungbox(reference)
if ljp[-1] > 0.05:
Copy link
Contributor

Choose a reason for hiding this comment

The reason will be displayed to describe this comment to others. Learn more.

Looks like this line broke the build. We're PEP8 compliant now - can you please take care of that extra space after 'if'?

return True

return False
Expand Down