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Provide aggregation to indicate breakouts regarding a estimated linear regression "channel" #4

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mbok opened this issue Jul 18, 2017 · 1 comment

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@mbok
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mbok commented Jul 18, 2017

Breakouts (e.g. documents with a response variable value outside of the upper and lower hyper-plane spaced by a specified number of standard deviations above and below the middle linear regression hyper-plane) in time series data may indicate anomaly.
A concrete concept has still to be defined.
Real world use cases are e.g stock markets, see https://www.dailyfx.com/forex/education/trading_tips/daily_trading_lesson/2014/10/24/Trend-Following-with-Regression-Channels.html.

@mbok
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mbok commented Sep 25, 2017

This functionality is planed to be covered by #8. Scoring the results by error term and using ES built-in query min_score would provide the desired outbreakers.

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