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does random-walk forecasting, ie returns last seen value: P(t+1) = P(t)
thanks for the help @Japillow ! Improved doc,
breznak
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Jul 24, 2019
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trying to add a custom Naive predictor
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as an excercise adding custom NAB detectors
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Naive is a solid baseline for time-series predictions (but the Anomaly scores are not that good)
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the scores are bad, I'm not sure if that's "correct" for this detector
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still crashing on some inputs
FYI: @Japillow
| """ | ||
| This is implementation of the "naive forecast", aka "random walk forecasting", | ||
| which is a baseline algorithm for time-series forecasting. | ||
| It predicts the last seen value. So `Prediction(t+1) = Input(t)`. |
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Naive, random-walk is a simple predictor
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| # the computation | ||
| x = abs(current - predicted)/predicted | ||
| score = 1-math.exp(-self.coef * x) |
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is there a better way to get anomaly score from predictions?
This a) crashes sometimes, b) does not provide good AD
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WIP
I'd like to add naive/random walk predictor (& detector).
Fixes numenta#343