Anomaly detection using GARCH The GARCH model adjusts to the time series. Observations distant from the model are labeled as anomalies. It wraps the ugarch model presented in the rugarch library.
Examples
library(daltoolbox)
#loading the example database
data(examples_anomalies)
#Using simple example
dataset <- examples_anomalies$simple
head(dataset)
#> serie event
#> 1 1.0000000 FALSE
#> 2 0.9689124 FALSE
#> 3 0.8775826 FALSE
#> 4 0.7316889 FALSE
#> 5 0.5403023 FALSE
#> 6 0.3153224 FALSE
# setting up time series regression model
model <- hanr_garch()
# fitting the model
model <- fit(model, dataset$serie)
detection <- detect(model, dataset$serie)
# filtering detected events
print(detection[(detection$event),])
#> idx event type
#> 51 51 TRUE anomaly
#> 58 58 TRUE anomaly