7.00.02 - ChangePointDetection Arguments - Aster Analytics

Teradata Aster® Analytics Foundation User GuideUpdate 2

Product
Aster Analytics
Release Number
7.00.02
Published
September 2017
Content Type
Programming Reference
User Guide
Publication ID
B700-1022-700K
Language
English (United States)
Last Update
2018-04-17
ValueColumn
Specifies the name of the input table column that contains the time series data.
Accumulate
Specifies the names of the input table columns to copy to the output table.
Tip: To identify change points in the output table, specify the columns that appear in partition_exp and order_by_exp.
SegmentationMethod
[Optional] Specifies the segmentation method:
  • 'normal_distribution' (Default)

    In each segment, the data is in a normal distribution.

  • 'linear_regression'

    In each segment, the data is in linear regression.

SearchMethod
[Optional] Specifies the search method, binary segmentation.
MaxChangeNum
[Optional] Specifies the maximum number of change points to detect. Default: 10.
Penalty
[Optional] Specifies the penalty function, which is used to avoid over-fitting:
  • 'BIC' (Default)

    The condition for the existence of a change point is:

    ln(L 1)−ln(L 0) > (p 1 -p 0)*ln(n)/2

    For normal distribution and linear regression, the condition is:

    (p 1 -p 0)*ln(n)/2 = ln(n)

  • 'AIC'

    The condition for the existence of a change point is:

    ln(L 1)−ln(L 0) > p 1 -p 0

    For normal distribution and linear regression, the condition is:

    p 1 -p 0 = 2

  • threshold, a DOUBLE PRECISION value:

    The function compares the specified value to ln(L 1)−ln(L 0).

    L 1 and L 2 are the maximum likelihood estimation of hypotheses H 1 and H 0. For normal distribution, the definition of Log(L 1 ) and Log(L 0) are in Background.

    p is the number of additional parameters introduced by adding a change point. p is used in the information criterion BIC or AIC. p 1 and p 0 represent this parameter in hypotheses H 1 and H 0 separately.

OutputOption
[Optional] Specifies the output table columns. See the Output section. Default: 'CHANGEPOINT'.