I need a sanity check. I want to create an anomaly detection system.
The logic which I am planning to use is the following:
- Find anomalies in the past using Seasonal Hybrid Extreme Studentized Deviate Test.
- Binarise the anomalies (1 the anomalies and 0 the trends).
- Run several algorithms (Autoencoders, SVM, Logistic Regression, Naive Bayes, Lasso Regression, etc) with variables that are correlated and validate the models and use it.
Does the binarisation process makes sense?