Github user james-sirota commented on a diff in the pull request:
https://github.com/apache/incubator-metron/pull/352#discussion_r88757736
--- Diff:
metron-analytics/metron-statistics/src/main/java/org/apache/metron/statistics/outlier/MedianAbsoluteDeviationFunctions.java
---
@@ -0,0 +1,193 @@
+/*
+ *
+ * Licensed to the Apache Software Foundation (ASF) under one
+ * or more contributor license agreements. See the NOTICE file
+ * distributed with this work for additional information
+ * regarding copyright ownership. The ASF licenses this file
+ * to you under the Apache License, Version 2.0 (the
+ * "License"); you may not use this file except in compliance
+ * with the License. You may obtain a copy of the License at
+ *
+ * http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or
implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+ */
+package org.apache.metron.statistics.outlier;
+
+import org.apache.metron.common.dsl.Context;
+import org.apache.metron.common.dsl.ParseException;
+import org.apache.metron.common.dsl.Stellar;
+import org.apache.metron.common.dsl.StellarFunction;
+import org.apache.metron.statistics.OnlineStatisticsProvider;
+
+import java.util.ArrayList;
+import java.util.List;
+import java.util.Optional;
+
+public class MedianAbsoluteDeviationFunctions {
+ public static class State {
+ OnlineStatisticsProvider tickMedianProvider;
+ OnlineStatisticsProvider tickMADProvider;
+ OnlineStatisticsProvider windowMedianProvider;
+ OnlineStatisticsProvider windowMADProvider;
+
+ public State() {
+ tickMedianProvider = new OnlineStatisticsProvider();
+ tickMADProvider = new OnlineStatisticsProvider();
+ windowMedianProvider = new OnlineStatisticsProvider();
+ windowMADProvider = new OnlineStatisticsProvider();
+ }
+
+ public State(Optional<List<State>> previousStates, Optional<State>
currentState)
+ {
+ tickMedianProvider = new OnlineStatisticsProvider();
+ tickMADProvider = new OnlineStatisticsProvider();
+ windowMedianProvider =
currentState.isPresent()?currentState.get().tickMedianProvider:new
OnlineStatisticsProvider();
+ windowMADProvider =
currentState.isPresent()?currentState.get().tickMADProvider:new
OnlineStatisticsProvider();
+ for(State s : previousStates.orElse(new ArrayList<>())) {
+ windowMedianProvider = (OnlineStatisticsProvider)
windowMedianProvider.merge(s.tickMedianProvider);
+ windowMADProvider = (OnlineStatisticsProvider)
windowMADProvider.merge(s.tickMADProvider);
+ }
+ }
+
+ public void add(Double d) {
+ if(!Double.isNaN(d)) {
+ tickMedianProvider.addValue(d);
+ double deviation = Math.abs(d -
windowMedianProvider.getPercentile(50));
+ windowMedianProvider.addValue(d);
+ if(!Double.isNaN(deviation)) {
+ windowMADProvider.addValue(deviation);
+ tickMADProvider.addValue(deviation);
+ }
+ }
+ }
+ }
+
+ @Stellar(namespace="OUTLIER"
+ ,name="MAD_STATE_MERGE"
+ ,description="Update the statistical state required to compute
the Median Absolute Deviation"
+ ,params= {
+ "[state] - A list of Median Absolute Deviation States to
merge. Generally these are states across time."
+ ,"currentState? - The current state (optional)"
+ }
+ ,returns="The Median Absolute Deviation state."
+ )
+ public static class StateUpdate implements StellarFunction{
+
+ @Override
+ public Object apply(List<Object> args, Context context) throws
ParseException {
+ State state = null;
+ List<State> states = (List<State>) args.get(0);
+ State currentState = null;
+ if(args.size() > 1) {
+ currentState = (State) args.get(1);
+ }
+ state = new State(Optional.ofNullable(states),
Optional.ofNullable(currentState));
+ return state;
+ }
+
+ @Override
+ public void initialize(Context context) {
+
+ }
+
+ @Override
+ public boolean isInitialized() {
+ return true;
+ }
+ }
+
+ @Stellar(namespace="OUTLIER"
+ ,name="MAD_ADD"
+ ,params= {
+ "state - The MAD state"
+ , "value - The numeric value to add"
+ }
+ ,description="Add a piece of data to the state."
+ ,returns="The MAD state."
+ )
+ public static class PointUpdate implements StellarFunction{
+
+ @Override
+ public Object apply(List<Object> args, Context context) throws
ParseException {
+ State state = (State) args.get(0);
+ Object o = args.get(1);
+ List<Double> data = new ArrayList<>();
+ if(o != null) {
+ if (o instanceof List) {
+ for (Object datum : (List<Object>) o) {
+ Number n = (Number) datum;
+ data.add(n.doubleValue());
+ }
+ } else {
+ Number n = (Number)o;
+ data.add(n.doubleValue());
+ }
+ }
+ if(state != null) {
+ for(Double d : data) {
+ state.add(d);
+ }
+ }
+ return state;
+ }
+
+ @Override
+ public void initialize(Context context) {
+
+ }
+
+ @Override
+ public boolean isInitialized() {
+ return true;
+ }
+ }
+
+ @Stellar(namespace="OUTLIER"
+ ,name="MAD_SCORE"
+ ,params = {
+ "state - The MAD state"
+ ,"value - The value to score"
+ ,"scale? - Optionally the scale to use when computing the
modified z-score. Default is 0.6745, see the first page of
http://web.ipac.caltech.edu/staff/fmasci/home/astro_refs/BetterThanMAD.pdf";
+ }
+ ,description="Get the modified z-score normalized by the MAD:
scale * | x_i - median(X) | / MAD. See the first page of
http://web.ipac.caltech.edu/staff/fmasci/home/astro_refs/BetterThanMAD.pdf";
+ ,returns="The modified z-score."
+ )
+ public static class Score implements StellarFunction{
+
+ @Override
+ public Object apply(List<Object> args, Context context) throws
ParseException {
+ double scale = 0.6745;
--- End diff --
this is 1/b from the caltech paper
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