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Weekly Report -- 18/05/2012




Spent most of the week playing with Shewhart control charts, trying to find useful thresholds for determining when an anomaly has occurred. After a lot of fiddling and frustration, I think I've managed to settle on something that gives reasonable results for all of the test data that I have. Basically, I look for any forecast residual that causes a significant shift in the current sample standard deviation (calculated over the last 20 measurements). The residual must also result in a large shift in the current sample mean away from zero and must be more than eight sample standard deviations away from the complete sample mean.

A lot of that probably doesn't make much sense to anyone who hasn't been working with these numbers for as long as I have, so I'm now working on documenting the whole process and explaining the reasoning behind it. I'm also planning on generating a lot more test data to verify that my approach works well in a variety of situations.