Provide aggregation to indicate breakouts regarding a estimated linear regression "channel"

mbok / elasticsearch-linear-regression

A machine learning plugin for Elasticsearch providing aggregations to compute multiple linear regression on search results in real-time for predictive analytics.

Apache License 2.0

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Provide aggregation to indicate breakouts regarding a estimated linear regression "channel" #4

Open mbok opened 6 years ago

mbok commented 6 years ago

Breakouts (e.g. documents with a response variable value outside of the upper and lower hyper-plane spaced by a specified number of standard deviations above and below the middle linear regression hyper-plane) in time series data may indicate anomaly. A concrete concept has still to be defined. Real world use cases are e.g stock markets, see https://www.dailyfx.com/forex/education/trading_tips/daily_trading_lesson/2014/10/24/Trend-Following-with-Regression-Channels.html.

mbok commented 6 years ago

This functionality is planed to be covered by #8. Scoring the results by error term and using ES built-in query min_score would provide the desired outbreakers.