Extracting seasonal, level, and spike components from a time series of metrics data

Abstract

Certain embodiments involve extracting seasonal, level, and spike components from a time series of metrics data, which describe interactions with an online service over a time period. For example, an analytical system decomposes the time series into latent components that include a seasonal component series, a level component series, a spike component series, and an error component series. The decomposition involves configuring an optimization algorithm with a constraint indicating that the time series is a sum of these latent components. The decomposition also involves executing the optimization algorithm to minimize an objective function subject to the constraint and identifying, from the executed optimization algorithm, the seasonal component series, the level component series, the spike component series, and the error component series that minimize the objective function. The analytical system outputs at least some latent components for anomaly-detection or data-forecasting.