henrikingo commented on PR #150: URL: https://github.com/apache/otava/pull/150#issuecomment-4307073004
Hi Stephan The original e-divisive implementation (in R) actually included such an option, and I think MongoDB's signal_processing_algorithms likewise required 2 points at each end of the segment, meaning that it was only possible to find a change point in segments that had at least 5 points, and in the case it would have to be point #3 that is the change point. The Hunter implementation then modified this to any point in arbitrary short segments to be a change point. "In practice the minimum segment is 3, since with only 2 points it is not possible to establish the "normal" range that the other point would be a change from." The Hunter modifications specifically were introduced to correctly find two nearby change points, since a common use case (in Cassandra development, anyway) was that they would observe a regression and then immediately fix it in a nearby commit. The datastax team observed that they could make the algorithm more sensitive by dividing a long series into smaller windows. A byproduct of this is that even individual outlier points sometimes get marked as change points much more easily than in the original e-divisive. The relevant parameter is window_len and by defaylt it is set to 50. Before adding a new parameter, it would be interesting to hear from you whether you get "better" behavior by increasing this parameter. In principle you should be able to get original e-divisive behavior by setting window_len to a really large value = larger than the length of your time series. If you do this and still observe individual outliers getting marked as change points (or even two changepoints) could you please share a data sample -- This is an automated message from the Apache Git Service. To respond to the message, please log on to GitHub and use the URL above to go to the specific comment. To unsubscribe, e-mail: [email protected] For queries about this service, please contact Infrastructure at: [email protected]
