hanr_garch {harbinger} | R Documentation |
Anomaly detection using GARCH The GARCH model adjusts to the time series. Observations distant from the model are labeled as anomalies. It wraps the ugarch model presented in the rugarch library.
hanr_garch()
hanr_garch
object
library(daltoolbox)
#loading the example database
data(har_examples)
#Using example 14
dataset <- har_examples$example14
head(dataset)
# setting up time series regression model
model <- hanr_garch()
# fitting the model
model <- fit(model, dataset$serie)
detection <- detect(model, dataset$serie)
# filtering detected events
print(detection[(detection$event),])