henrikingo commented on PR #96: URL: https://github.com/apache/otava/pull/96#issuecomment-3525938057
Thanks a lot @Sowiks for this! You have valuable skill in being able to grasp the academic level math and then still explain your findings to normal people with simple pictures. Btw this is why I like this tigerbeetle demo dataset from 2023. In 200+ points it exercises many of the phenomena you might encounter in this field, and so it captured your bug, or fix rather, too. Amazingly I vaguely remember how this happened at MongoDB back then. I remember asking about this kappa and the people who had read the jameson paper (I would read it much later) explained that we can choose a value for it freely. So we did and I never thought of it again. We thought of it as a parameter we could choose, not that we were supposed to use all values. Since the by-the-book algorithm ends in a monte carlo simulation, we apparently accepted the fact that the reference implementation in R often produced different change points. So it seems with your fix the algorithm will perform even better than it ever did. (And even now Otava has outperformed all alternatives with a good margin!) It now seems to hit the blind spots that always annoyed me. In a way Piotr's approach applying small windows kind of achieves the same behavior. Do I understand correctly that running this Kappa from 0 to T is exactly the same as if I would start with two points, then append one point at a time to the timeseries, re-running otava between each step, and then keeping all change points found along the way? If yes, then it means that storing the previous results becomes the norm and we should pay more attention to a format and api for doing that. Will review code over the weekend but from the text and pictures I can already tell this is good stuff. Thanks for contributing! -- This is an automated message from the Apache Git Service. To respond to the message, please log on to GitHub and use the URL above to go to the specific comment. To unsubscribe, e-mail: [email protected] For queries about this service, please contact Infrastructure at: [email protected]
