[ML] Improve robustness w.r.t. outliers of detection and initialisation of seasonal components#90
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tveasey merged 6 commits intoelastic:masterfrom May 9, 2018
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…isation. Some test fixes
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edsavage
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Your changes look good to me Tom.
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Please additionally do when backporting this to 6.x |
tveasey
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…on of seasonal components (#90) This makes two principle changes: 1) iteratively reweights outliers w.r.t. the seasonal component under test and for initialisation. These are defined as a fraction of values with highest residual w.r.t. the component's predictions. 2) switches marginal test decisions for decomposition components to use logistic regression on top of the various factors, i.e. variance reduction, autocorrelation, number of periods of data observed, etc.
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This makes two principle changes:
I've tested this on a variety of synthetic and real examples where initial periodic patterns are distorted by outliers and this approach has proved effective, see #87 for more details. Otherwise, it seems to have no detrimental effects.
This will affect results on count and metric analyses when there is seasonality and significant distortion due to outliers.