R6 class for Univariate Poisson Cost Functions

Cost functions for the univariate Poission distribution

Details

Collective anomalies are represented as multiplicative changes in rate

Methods

Public methods

• poisCost$length()

• poisCost$new()

• poisCost$baseCost()

• poisCost$pointCost()

• poisCost$collectiveCost()

• poisCost$param()

• poisCost$clone()

---

Method length()

Get the length of time series

Usage

poisCost$length()

---

Method new()

Initialise the cost function

Usage

poisCost$new(x, rate = 1)

Arguments

x

numeric vector of observations

rate

numeric vector of rate parameters

---

Method baseCost()

Compute the non-anomalous cost of a segment

Usage

poisCost$baseCost(a, b, pen = 0)

Arguments

a

start of period

b

end of period

pen

penalty cost

---

Method pointCost()

Compute the point anomaly cost of a time step

Usage

poisCost$pointCost(b, pen)

Arguments

b

time step

pen

penalty cost

---

Method collectiveCost()

Compute the anomalous cost of a segment

Usage

poisCost$collectiveCost(a, b, pen, len)

Arguments

a

start of period

b

end of period

pen

penalty cost

len

minimum number of observations

---

Method param()

Compute parameters of a segment if anomalous

Usage

poisCost$param(a, b)

Arguments

a

start of period

b

end of period

---

Method clone()

The objects of this class are cloneable with this method.

Usage

poisCost$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.

Examples

set.seed(0)
r <- 8 + runif(100)*2
x <- rpois(100,lambda = r)

p <- poisCost$new(x,r)
p$baseCost(90,95) ## cost of non-anomalous distribution for x[90:95]
#>     rate 
#> 29.90849 
p$pointCost(90,0) ## point anomaly cost for x[90] with 0 penalty
#>        x 
#> 4.415644 
## collective anomaly cost for x[90:95] with penalty of 57 and at least 3 observation
p$collectiveCost(90,95,57,3) 
#>     rate 
#> 86.33279