Perfomalist (www.Perfomalist.com) is a web based anomaly and change point detection tool. The method used by the tool is SETDS - Statistical Exception and Trend Detection System, which is a variation of the Statistical Process Control method applied to time series data. The key idea of the method is EV (Exception Value) which indicates the severity of anomalies calculated as a difference between control limits and actual anomalous data points. Any change that occurs first would appear as an anomaly and then may become a normality (new norm), so collecting overtime and analyzing the severity of all anomalies opens the possibility to find phases in the data history with different patterns. To detect change points between phases one just needs to find all the roots of the following equation: EV(t)=0 , where t is time. [1]. Using this method the Perfomalist API call returns all change points found in the input CSV data.
[1] - Igor Trubin, "Exception Based Modeling and Forecasting" , 34th International Computer Measurement Group Conference, December 7-12, 2008, Las Vegas, Nevada, USA, Proceedings
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