kumulant/com.eignex.kumulant.stat.change/PageHinkleyStat

PageHinkleyStat

class PageHinkleyStat(val delta: Double = 0.005, val threshold: Double = 50.0, val concurrency: Concurrency = Concurrency.None) : SeriesStat<PageHinkleyResult> (source)

Page-Hinkley change-point detector. Tracks the running mean alongside two one-sided cumulative-drift signals

m+_t = Sum (x_i - mean - delta),  M+_t = min m+_t<br>m-_t = Sum (x_i - mean + delta),  M-_t = max m-_t

and raises an alarm when m+_t - M+_t > threshold (upward drift) or M-_t - m-_t > threshold (downward drift). The tolerance delta absorbs in-control fluctuation; threshold controls false-alarm rate.

Use cases: drift detection in monitored signals, model-residual whiteness loss alarms, online change-point detection where CUSUM's known target value is not available.

Memory: O(1); six cells plus a lock.

Update: O(1).

Concurrency: Order-dependent recurrence over coupled cells, same model as com.eignex.kumulant.stat.decay.EwmaVarianceStat. Concurrency.Strict and Concurrency.HighWrite lock the body so each update is atomic; Concurrency.Relaxed drops the lock and the cells race independently with bounded drift; never throws.

Constructors

PageHinkleyStat

constructor(delta: Double = 0.005, threshold: Double = 50.0, concurrency: Concurrency = Concurrency.None)

Properties

concurrency

open override val concurrency: Concurrency

The thread-safety contract this stat was constructed with. Each stat picks the cell-encoding and lock strategy that honours this contract for its mathematical structure:

delta

val delta: Double

Tolerance absorbing in-control fluctuation; must be >= 0.

threshold

val threshold: Double

Alarm threshold for either drift; must be >= 0.

Functions

create

open override fun create(concurrency: Concurrency? = null): PageHinkleyStat

Spawn a fresh accumulator with the same configuration. Optionally override the Concurrency; useful for materialising a wire spec at a different concurrency level than the source.

merge

open override fun merge(values: PageHinkleyResult)

Fold another accumulator's snapshot into this one. The unit of merge is the immutable Result; not a live Stat; which is what lets the merge cross a process boundary. Many workers track slices of the same stream, call read periodically, ship snapshots to a coordinator, and the coordinator merges them in.

read

open override fun read(timestampNanos: Long = currentTimeNanos()): PageHinkleyResult

Materialise the current state as an immutable Result. Reads never mutate, so the caller can read as often as it likes without affecting the stream.

reset

open override fun reset()

Reset the stat to its prior-seeded baseline. Equivalent to constructing a fresh stat with the same configuration, but in place; keeps the same Concurrency and any per-stat tunables.

update

open fun update(value: Double, weight: Double = 1.0)

Record an observation with the given weight, stamped at the current time.

open override fun update(value: Double, timestampNanos: Long, weight: Double = 1.0)

Record an observation at timestampNanos with the given weight. Stats that consume time (rates, decay, windowing) use this as the ordering signal; pass a monotonic stamp when feeding from a replay log.

PageHinkleyStat

constructor(delta: Double = 0.005, threshold: Double = 50.0, concurrency: Concurrency = Concurrency.None)(source)

concurrency

open override val concurrency: Concurrency(source)

The thread-safety contract this stat was constructed with. Each stat picks the cell-encoding and lock strategy that honours this contract for its mathematical structure:

Concurrency.None: single-threaded; no synchronisation. Cheapest path.
Concurrency.Relaxed: lock-free best-effort. Multi-cell stats (Welford-style MeanStat, VarianceStat, MomentsStat) may drift under contention but never throw.
Concurrency.Strict: serialised when needed for full correctness across coupled cells. Sketches always self-serialise; Welford stats lock per update.
Concurrency.HighWrite: optimised for many concurrent writers; JVM uses striped adders for naively additive stats.

Picked at construction; immutable after.

create

open override fun create(concurrency: Concurrency? = null): PageHinkleyStat(source)

Spawn a fresh accumulator with the same configuration. Optionally override the Concurrency; useful for materialising a wire spec at a different concurrency level than the source.

The returned stat is independent: its state starts at the configured baseline, not at the source's current state. Each modality subtype narrows the return type so chaining doesn't lose the modality.

delta

val delta: Double(source)

Tolerance absorbing in-control fluctuation; must be >= 0.

merge

open override fun merge(values: PageHinkleyResult)(source)

Most stat families implement merge exactly (Chan-style parallel formulas for Welford, cell-wise additions for histograms, cell-wise max for HLL). SGD-based regressors merge approximately; they have no second-moment information for the principled combine. Each stat's KDoc documents its merge semantics.

read

open override fun read(timestampNanos: Long = currentTimeNanos()): PageHinkleyResult(source)

Materialise the current state as an immutable Result. Reads never mutate, so the caller can read as often as it likes without affecting the stream.

Snapshot consistency depends on the configured Concurrency. Under Concurrency.Strict / Concurrency.HighWrite a read locks against writers so coupled cells stay consistent. Under Concurrency.Relaxed the cells race and the snapshot may drift by ULPs of the workload under heavy contention; the drift is bounded and the read never throws.

timestampNanos is the read timestamp. Stats that don't care about time silently drop it; stats that do (rates, decay families, recency, windowed wrappers) use it as the ordering signal.