Anomaly detection - rolling forecasts + index data structure

Hi,

I have a rolling forecast timeseries prediction being computed 3x per day and I’m wondering how I should structure my data / index in the ES index so that the anomaly detection can find errors?

Currently the data is structured in a way so that there’s an ‘observation datetime’ which is when the rolling forecast was computed being associated with a timeseries of datetime, value points which represent the forecasted timeseries itself.

ie one rolling forecast would be:
observation_datetime = ‘2020-12-26 10:00’,
forecast_timeseries = {
2020-12-26 10:30, 2.34,
2020-12-26 11:00, 4.34,
2020-12-26 11:30, 4.44,
2020-12-26 12:00, 4.44,
2020-12-26 12:30, 4.44,
2020-12-26 13:00, 4.44,
2020-12-26 13:30, 2.34,
2020-12-26 14:00, 4.34,
2020-12-26 14:30, 4.44,
continuing for 5 years
}

and a second forecast later today will be
observation_datetime = ‘2020-12-26 11:00’,
forecast_timeseries = {
2020-12-26 11:30, 4.44,
2020-12-26 12:00, 4.44,
2020-12-26 12:30, 4.44,
2020-12-26 13:00, 4.44,
2020-12-26 13:30, 2.34,
2020-12-26 14:00, 4.34,
2020-12-26 14:30, 4.44,
continuing for 5 years
}

etc.

I would like to use the anomaly detection feature to compare the forecast_timeseries themselves to each other to detect if there any errors ie data gaps, outliers in values etc.

Any suggestions on how I should structure my ES index of my rolling forecast data so that I can take advantage of the OpenDistro anomaly detection feature for this dataset above?

Thx

hi, @javaguy44, thanks for your interest in ODFE anomaly detection plugin. Just clarify more about your requirements, do you want to detect anomalies in one forecast or anomalies/big gaps in second forecast compared with first forecast?

Hi @ylwu thanks for your reply - sorry I missed this and Happy New Year to you!

I am interested in the anomalies / big gaps in the second forecast compared with the first forecast!

Thanks!

Cool, this is an interesting feature. We don’t support this currently, but we have plan to build some trend analysis which may address this requirements. Keep an eye on our Github release Releases · opendistro-for-elasticsearch/anomaly-detection · GitHub