When cloning and retraining the job on existing historical data isn't desired or practical, you can effectively remove a window of time by using the model_snapshots API (https://www.elastic.co/guide/en/elasticsearch/reference/6.5/ml-apis.html#ml-api-snapshot-endpoint), as shown in the following steps:

1. Stop the datafeed
2. Find the last snapshot taken by using the GET model_snapshots API (and passing the desired end time)
3. Revert to that earlier snapshot ID using the _revert API call, but also pass the delete_intervening_results flag to erase any results/anomalies that were created after the time the snapshot was created
4. Start the datafeed at an appropriate time, that is, the end of the window of time that you want to ignore