Multivariate Anomaly Detection in Azure Data Explorer
ADX contains native support for detecting anomalies over multiple time series by using the function series_decompose_anomalies() that can analyze thousands of time series in seconds, enabling near real time monitoring solutions and workflows based on ADX. This function analyzes each metric independently for anomalies, however there are some anomalies that can only be detected by looking on multiple metrics at the same time. In this blog we present new ADX functions for multivariate anomaly detection, that jointly analyze time series of multiple metrics, and present example of these anomalies when analyzing prices of MSFT and SPY pair.
