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erzk/quandl_fx_anomaly_detection.R

Created September 5, 2015 22:13
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quandl_fx_anomaly_detection.R
# run the anomaly detection
posixDate <- as.POSIXct(gbppln$Date)
gbppl_ad_df <- data.frame(posixDate, gbppln$Rate)
fx.ad <- AnomalyDetectionVec(gbppl_ad_df$gbppln.Rate,
max_anoms=0.05,
direction='both',
plot=TRUE,
period=30)
# plot the anomalies
fx.ad$plot
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