kumulant
com.eignex.kumulant/stat/change/PageHinkleyResult

PageHinkleyResult

@Serializable
@SerialName(value = "PageHinkleyResult")
data class PageHinkleyResult(val delta: Double, val threshold: Double, val count: Long, val mean: Double, val cumulativePositive: Double, val cumulativeNegative: Double, val minPositive: Double, val maxNegative: Double, val alarmUp: Boolean, val alarmDown: Boolean) : Result(source)

Snapshot from a PageHinkleyStat change-point detector.

Constructors

PageHinkleyResult

constructor(delta: Double, threshold: Double, count: Long, mean: Double, cumulativePositive: Double, cumulativeNegative: Double, minPositive: Double, maxNegative: Double, alarmUp: Boolean, alarmDown: Boolean)(source)

Properties

alarm

val alarm: Boolean(source)

True when either drift test has fired.

alarmDown

val alarmDown: Boolean(source)

True when maxNegative - cumulativeNegative > threshold.

alarmUp

val alarmUp: Boolean(source)

True when cumulativePositive - minPositive > threshold.

count

val count: Long(source)

Number of observations folded in.

cumulativeNegative

val cumulativeNegative: Double(source)

Cumulative negative-drift signal m_t = Sum (x_i - mean + delta).

cumulativePositive

val cumulativePositive: Double(source)

Cumulative positive-drift signal m_t = Sum (x_i - mean - delta).

delta

val delta: Double(source)

Tolerance applied on each side; positive deviations smaller than this are absorbed.

maxNegative

val maxNegative: Double(source)

Running maximum of cumulativeNegative, used as the baseline for the downward test.

mean

val mean: Double(source)

Running mean of all observations.

minPositive

val minPositive: Double(source)

Running minimum of cumulativePositive, used as the baseline for the upward test.

threshold

val threshold: Double(source)

Alarm threshold; the alarm fires when either drift exceeds this.