BoundedBOCPD

Summary

BoundedBOCPD is RTTA's streaming implementation of: Bounded-memory Bayesian online change-point detector with constant hazard.

Update API

result = rtta.BoundedBOCPD().update(value)

The update(...) call consumes one observation using value. advance(...) uses the same inputs when the caller wants to update state without materializing a Python return value.

Theory Of Operation

BoundedBOCPD converts each observation into a streaming score and then applies threshold or hysteresis logic. The state is deliberately sticky where the C++ class models regimes, so small reversals do not immediately flip the output.

Recurrence

Let \(z_t = value_t\) denote the observation consumed by one update(...) call and let \(\theta\) denote constructor parameters such as window lengths, thresholds, and smoothing constants.

\[R_t(r+1) = R_{t-1}(r)(1-h)p(z_t\mid r)\]

\[R_t(0)=\sum_r R_{t-1}(r)h\,p(z_t\mid r)\]

The return value is the current scalar indicator value.

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class BoundedBOCPD.

Reference

Background reference