Mining Deviants in a Time Series Database

摘要

Identifying outliers is an important data analysis function. Statisticians have long studied techniques to identify outliers in a data set in the context of fitting the data to some model. In the case of time series data, the situation is more murky. For instance, the "typical" value could "drift" up or down over time, so the extrema may not necessarily be interesting. We wish to identify data points that are somehow anomalous or "surprising".