Analysis of different scalar series


I’ve a lot of doubts about my case of use: I’ve got several time series from similar sources, so time series are similar, I’m interesting to get desviations among them. If one of them is different to other ones.

Is there any way to use HTM for this kind of use? I wonder in a global way, more than comparing results from individual analisys.



One technique you might use is something I call “classification by anomaly score”. If you have a set of sources that produce data streams, train a model for each source and get anomaly likelihoods out of them over time. Once you feel that they are fully trained and not throwing false positive anomalies, turn learning OFF on all the models.

Now you have a suite of models that can classify new data streams. Just pass the new data stream into each model simultaneously. Over time, track the model with the lowest anomaly likelihood, which is the resulting classification. You can also tell how confident the classification is based on the anomaly values across all the models.