[AnomalyDetection] Add univariate trackers #33994
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r: @damccorm |
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Also includes minor fixes on Specifiable and univariate perf tests.
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| class WindowMode(Enum): | ||
| """Enum representing the window mode for windowed trackers.""" | ||
| #: operating on all data points from the beginning. |
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I assume this doesn't mean we're buffering all data points we've ever seen, right?
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I think reading other things, the answer is yes, but it would be good to be explicit here.
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It really depends on algorithms and what statistics we talk about here.
For example, we don't need to store all data points to compute the mean in a landmark window: an naive way is to only store the number of data points and their sum.
However, for quantile, we will have to store all the data to compute the exact answer. There are some approximate algorithms for quantile that does not need to store all data points, but they are outside the scope of this current implementation.
That's why in WindowTracer, we don't explicitly declare a list to store all data points, because it may or may not need all the data points.
This is a follow-up PR of #33845.
We added tracker classes that will be used in the detectors and other components of the transform.