Outlier correction
First Claim
1. Method for correcting outlier values in a series of values over time, the values representing a predetermined numerical parameter, the method comprising:
- for a predetermined time interval of the time series, the time interval having a beginning point (b) and an end point (e),a) calculating an ex-post forecast time series (s_ep) on the basis of the historical lime series (s_h) and a predetermined model function (f);
b) defining a lower tolerance limit line (t_min) and an upper tolerance limit line (t_max) on the basis of the ex-post forecast time series and on a quality function (qf) over the time interval;
c) beginning at the beginning point (b) of the time interval, correcting the historical time series by replacing the first value of the historical time series (s_h) outside of the tolerance lines by a predetermined value not outside the tolerance lines (t_min, t_max);
d) recalculating the ex-post forecast time series (s_ep) on the basis of the corrected historical time series (s_h) and the predetermined model function; and
redefining the tolerance lines on the basis of the recalculated ex-post forecast time series (s_ep) and the quality function, whereby the quality function (qf) takes only values into account until the time point where the last outlier value has been replaced;
e) repeating c) to e) until all outlier values of the historical time series (s_h) have been replaced; and
storing the corrected historical time series is (s_h) for later use by a user.
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Accused Products
Abstract
The invention provides methods and apparatus, including computer program products, for correcting outlier values in a series of values representing a predetermined numerical parameter over time. For predetermined time interval with a beginning (b) and end (e) point of the time series, an ex-post forecast time series (s_ep) is calculated using the historical time series (s_h) and a predetermined model function (f). Lower and upper tolerance limit lines are defined using (s_ep) and on a quality function (qf) over the time interval. Beginning at (b), (s_h) is corrected by replacing the first value outside of the tolerance lines by a predetermined value inside the tolerance lines. The (s_ep) is recalculated using (s_h) and (f). The tolerance lines are redefined using the recalculated (s_ep) and (qf) that takes only values where the last outlier value has been replaced. These steps are repeated until all (s_h) outlier values have been replaced.
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Citations
10 Claims
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1. Method for correcting outlier values in a series of values over time, the values representing a predetermined numerical parameter, the method comprising:
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for a predetermined time interval of the time series, the time interval having a beginning point (b) and an end point (e), a) calculating an ex-post forecast time series (s_ep) on the basis of the historical lime series (s_h) and a predetermined model function (f); b) defining a lower tolerance limit line (t_min) and an upper tolerance limit line (t_max) on the basis of the ex-post forecast time series and on a quality function (qf) over the time interval; c) beginning at the beginning point (b) of the time interval, correcting the historical time series by replacing the first value of the historical time series (s_h) outside of the tolerance lines by a predetermined value not outside the tolerance lines (t_min, t_max); d) recalculating the ex-post forecast time series (s_ep) on the basis of the corrected historical time series (s_h) and the predetermined model function; and
redefining the tolerance lines on the basis of the recalculated ex-post forecast time series (s_ep) and the quality function, whereby the quality function (qf) takes only values into account until the time point where the last outlier value has been replaced;e) repeating c) to e) until all outlier values of the historical time series (s_h) have been replaced; and storing the corrected historical time series is (s_h) for later use by a user. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8)
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9. A system comprising:
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means for calculating an ex-post forecast time series (sep) on the basis of the historical time series (s_h) and a predetermined model function (f); means for defining a lower tolerance limit line (t_min) and an upper tolerance limit line (t_max) on the basis of the ex-post forecast time series and on a quality function (qf) over the time interval; means for beginning at the beginning point (b) of the time interval, correcting the historical time series by replacing the first value of the historical rime series (s_h) outside of the tolerance lines by a predetermined value not outside the tolerance lines (t_min, t_max); means for recalculating the ex-post forecast time series (s_ep) on the basis of the corrected historical time series (s_h) and the predetermined model function; and
redefining the tolerance lines on the basis of the recalculated ex-post forecast time series (s_ep) and the quality function, whereby the quality function (qf) takes only values into account until the time point where the last outlier value has been replaced; andmeans for storing the corrected historical time series (s_h) for later use by a user.
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10. A machine-accessible medium containing instructions that, when executed, cause a machine to:
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for a predetermined time interval of the time series, the time interval having a beginning point (b) and an end point (e). a) calculate an ex-post forecast time series (s_ep) on the basis of the historical time series (s_h) and a predetermined model function (f); b) define a lower tolerance limit line (t_min) and an upper tolerance limit line (t_max) on the basis of the ex-post forecast time series and on a quality function (qf) over the time interval; c) beginning at the beginning point (b) of the time interval, correct the historical time series by replacing the first value of the historical time series (s_h) outside of the tolerance lines by a predetermined value not outside the tolerance lines (t_min, t_max); d) recalculate the ex-post forecast time series (s_ep) on the basis of the corrected historical time series (s_h) and the predetermined model function; and
redefining the tolerance lines on the basis of the recalculated ex-post forecast time series (s_ep) and the quality function, whereby the quality function (qf) takes only values into account until the time point where the last outlier value has been replaced;e) repeat c) to e) until all curlier values of the historical time series (s_h) have been replaced; and store the corrected histroical time series (s_h) for later use by a user.
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Specification