Suggest default settings for PH threshold
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macandleighs commented
Issue: the PH threshold (aka lambda) starts at 0.1 * window_size, but our three divergence metrics lead to change scores that vary widely in terms of magnitude. I.e. for intersection area, the threshold was always 4 but the change scores were around 0.25-0.50 so it never alarmed, even though the trajectory of the change scores over time looked accurate. LLH and Kl divergence were on the order of 500 and 50 respectively.
From the PH paper Qahtan cites here: https://repository.kaust.edu.sa/bitstream/handle/10754/556655/TKDE.pdf;jsessionid=289DDA44451AE77BA76539AB0B619647?sequence=1
The parameter λ is usually set after observing <the test stat> for some time and depends on the desired alarm rate