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microsoft / Kusto-Query-Language

Kusto Query Language is a simple and productive language for querying Big Data.
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Algos used behind series_decompose and series_decompose_forecast() #17

Closed hmamirchishti closed 4 years ago

hmamirchishti commented 4 years ago

Hi there, I am unable to find Information regarding algorithms used to implement series_decompose() and series_decompose_forecast(). Further, I read the book mentioned in series_decompose() regarding information and I believe its one of X11, SEATS or STL. Please tell me what was used and later what algorithm is being used for forecasting that decomposed parameters out of time series?

sloutsky commented 4 years ago

The algorithm is STL with specific tweaks and improvements to make it robust (to outliers in the training data) as well as optimized for processing thousands of time series in seconds. I truly don't understand this statement as the algorithm is fully documented with references - series_decompose_forecast refers to serie_decompose that describes the algorithm and link to the time series decomposition chapter in Hyndman book (which is the "bible" for this model). If there are additional questions please connect us, will be happy to help and further explain

hmamirchishti commented 4 years ago

Hey Alex, Thanks for taking the time and looking into this! Sorry, I bothered you. Yeah, information regarding the reference book is provided but I was unable to find the algorithm being used. It would be great if you could share information about those tweaks you talk about?