Siddhi allows you to identify outliers using linear regression on real time data streams. The outlier function takes in a dependent event stream (Y), an independent event stream (X) and a user specified range for outliers, and returns an output to indicate whether the current event is an outlier based on the regression equation that fits historical data.

The two implementations of outlier function can be distinguished as follows.

outlier: This allows you to specify a batch size (optional) that defines the number of events to be considered for the calculation of regression when finding outliers.
lengthTimeOutlier : This allows you to restrict the number of events considered for the regression calculation performed when finding outliers based on a specified time window and/or a batch size.

Input parameters of each implementation are as follows.

Input parameters for the outlier function

The following table describes the input parameters available for the outlier function.

Parameter	Description	Required/Optional	Default Value
Calculation Interval	The frequency with which the regression calculations should be carried out.	Optional	`1` (i.e., for every event)
Batch Size	The maximum number of events to be used for a regression calculation.	Optional	`100,000,000`
Confidence Interval	The confidence interval to be used for a regression calculation.	Optional	`0.95`
Range	The number of standard deviations from the regression equation.	Required	`0.95`
Y Stream	The data stream of the dependent variable.	Required
X Stream	The data stream of the independent variable.	Required

Format: outlier(range, Y, X) or outlier(calculation interval, batch size, confidence interval, range, Y, X)

Input Parameters for Length Time Outlier Function

The following table describes the input parameters available for the lengthTimeOutlier function.

Parameter	Description	Required/Option	Default Value
Time Window	The maximum time duration to be considered for a regression calculation.	Required
Batch Size	The maximum number of events to be used for a regression calculation.	Required
Range	The number of standard deviations from the regression calculation.	Required
Calculation Interval	The frequency with which the regression calculation should be carried out.	Optional	`1` (for every event)
Confidence Level	The confidence interval to be used for a regression calculation.	Optional	`0.95`
Y Stream	The data stream of the dependent variable.	Required
X Stream	The data stream of the independent variable.	Required

Format: lengthTimeOutlier(time window, batch size, range, Y, X) or lengthTimeOutlier(time window, batch size, range, calculation interval, confidence interval, Y, X)

Output parameters

The following table describes the output parameters.

The same output parameters are available for each implementation.

Parameter	Name	Description
Outlier	`outlier`	`True` if the event is an outlier, `False` if not.
Standard Error	`stdError`	The standard error of the regression equation.
β coefficients	`beta0`, `beta1`	β coefficients of the regression equation.
Input Stream Data	The name given in the input stream.	All the items sent in the input stream.

Examples

In each example given below, the query returns an indication whether the current event is an outlier or not together with the standard error of the regression equation (ε), β coefficients and all the items available in the input stream.

Example 1

The following query submits the number of standard deviations to be used as a range (2), a dependent input stream (Y) and an independent input stream (X) that are used to perform linear regression between Y and X. It returns an output that indicates whether the current event is an outlier or not.

from StockExchangeStream#timeseries:outlier(2, Y, X)
select *
insert into StockForecaster

Example 2

The following query submits a time window (2 seconds), a batch size (100 events), the number of standard deviations to be used as a range (2), a dependent input stream (Y) and an independent input stream (X), that are used to perform linear regression between Y and X. It returns an output that indicates whether the current event is an outlier or not.

from StockExchangeStream#timeseries:lengthTimeOutlier(2 sec, 100, 2, Y, X)
select *
insert into StockForecaster

Browser not supported