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CUSUM（累積和）手法を使った異常検出

CUSUMは「累積和 (Cumulative Sum)」の略で、統計的プロセス制御手法の一つです。主に製造業などの品質管理や監視の分野で利用されます。 正の異常検知と負の異常検知をそれぞれ下記の式で計算します。 正の異常検知：$${S_{H {n+1}} =max(0,S_{H_{n}} +Z_{n+1} -w))} ...
Simon Fraser University

Creating a One-Sided Cusum Chart with a Decision Interval

An alternative to the V-mask cusum chart is the one-sided cusum chart with a decision interval, which is sometimes referred to as the "computational form of the cusum chart." This example illustrates ...
note

短期市場変化：CuSum Model 検定

CuSum（Cumulative Sum）モデルを使った市場パターン変化の検出方法は、時系列データの平均値の変化から、市場状態の統計的に有意な変化を判定して行われる。 前提仮定として、通常の時系列データは平均回りでランダムに変動しているが、変化点において ...
Simon Fraser University

Creating a V-Mask Cusum Chart from Raw Data

Each observation contains one value of WEIGHT along with its associated value of HOUR, and the values of HOUR are in increasing order. The CUSUM procedure assumes that DATA= input data sets are sorted ...
GitHub

An Introduction into Anomaly Detection

This project gives a high-level overview of anomaly detection in timeseries data and provides a basic implementation of the cumulative sum (CUSUM) algorithm in R. CUSUM relies on stationarity ...