dpth 0.1.0

package/dist/correlation.js

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+/**
+ * dpth.io Correlation Engine
+ *
+ * The magic sauce. Automatically discovers relationships between metrics
+ * across different data sources without explicit configuration.
+ *
+ * Key capabilities:
+ * - Pearson correlation for contemporaneous relationships
+ * - Cross-correlation for lagged/causal relationships
+ * - Anomaly detection via statistical analysis
+ * - Significance testing to filter noise
+ */
+// ─── Metric Store ────────────────────────────────────
+/** In-memory metric store */
+const metrics = new Map();
+/**
+ * Register a metric for correlation analysis
+ */
+export function registerMetric(metric) {
+    metrics.set(metric.id, metric);
+}
+/**
+ * Add data points to a metric
+ */
+export function addMetricPoints(metricId, points) {
+    const metric = metrics.get(metricId);
+    if (!metric)
+        return;
+    metric.points.push(...points);
+    // Keep sorted by timestamp
+    metric.points.sort((a, b) => a.timestamp.getTime() - b.timestamp.getTime());
+}
+/**
+ * Get a metric by ID
+ */
+export function getMetric(id) {
+    return metrics.get(id);
+}
+/**
+ * List all metrics
+ */
+export function listMetrics() {
+    return Array.from(metrics.values());
+}
+// ─── Statistical Helpers ─────────────────────────────
+/**
+ * Calculate mean of values
+ */
+function mean(values) {
+    if (values.length === 0)
+        return 0;
+    return values.reduce((a, b) => a + b, 0) / values.length;
+}
+/**
+ * Calculate standard deviation
+ */
+function stdDev(values) {
+    if (values.length < 2)
+        return 0;
+    const avg = mean(values);
+    const squareDiffs = values.map(v => Math.pow(v - avg, 2));
+    return Math.sqrt(mean(squareDiffs));
+}
+/**
+ * Calculate Pearson correlation coefficient
+ */
+function pearsonCorrelation(x, y) {
+    if (x.length !== y.length || x.length < 3)
+        return 0;
+    const n = x.length;
+    const meanX = mean(x);
+    const meanY = mean(y);
+    let numerator = 0;
+    let denomX = 0;
+    let denomY = 0;
+    for (let i = 0; i < n; i++) {
+        const dx = x[i] - meanX;
+        const dy = y[i] - meanY;
+        numerator += dx * dy;
+        denomX += dx * dx;
+        denomY += dy * dy;
+    }
+    const denominator = Math.sqrt(denomX * denomY);
+    if (denominator === 0)
+        return 0;
+    return numerator / denominator;
+}
+/**
+ * Calculate statistical significance (p-value approximation)
+ * Uses t-distribution approximation for correlation significance
+ */
+function correlationSignificance(r, n) {
+    if (n < 4 || Math.abs(r) >= 1)
+        return 1;
+    const t = r * Math.sqrt((n - 2) / (1 - r * r));
+    const df = n - 2;
+    // Approximation of two-tailed p-value
+    // Using normal approximation for large df
+    const p = 2 * (1 - normalCDF(Math.abs(t)));
+    return p;
+}
+/**
+ * Normal CDF approximation
+ */
+function normalCDF(x) {
+    const a1 = 0.254829592;
+    const a2 = -0.284496736;
+    const a3 = 1.421413741;
+    const a4 = -1.453152027;
+    const a5 = 1.061405429;
+    const p = 0.3275911;
+    const sign = x < 0 ? -1 : 1;
+    x = Math.abs(x) / Math.sqrt(2);
+    const t = 1.0 / (1.0 + p * x);
+    const y = 1.0 - (((((a5 * t + a4) * t) + a3) * t + a2) * t + a1) * t * Math.exp(-x * x);
+    return 0.5 * (1.0 + sign * y);
+}
+// ─── Time Alignment ──────────────────────────────────
+/**
+ * Align two metrics to the same time points using interpolation
+ */
+function alignMetrics(metricA, metricB, lagDays = 0) {
+    // Get overlapping time range
+    const pointsA = metricA.points;
+    const pointsB = metricB.points;
+    if (pointsA.length < 2 || pointsB.length < 2) {
+        return { valuesA: [], valuesB: [], timestamps: [] };
+    }
+    const startA = pointsA[0].timestamp.getTime();
+    const endA = pointsA[pointsA.length - 1].timestamp.getTime();
+    const startB = pointsB[0].timestamp.getTime() + lagDays * 86400000;
+    const endB = pointsB[pointsB.length - 1].timestamp.getTime() + lagDays * 86400000;
+    const start = Math.max(startA, startB);
+    const end = Math.min(endA, endB);
+    if (start >= end) {
+        return { valuesA: [], valuesB: [], timestamps: [] };
+    }
+    // Sample at daily intervals
+    const dayMs = 86400000;
+    const valuesA = [];
+    const valuesB = [];
+    const timestamps = [];
+    for (let t = start; t <= end; t += dayMs) {
+        const valueA = interpolateAt(pointsA, t);
+        const valueB = interpolateAt(pointsB, t - lagDays * dayMs);
+        if (valueA !== null && valueB !== null) {
+            valuesA.push(valueA);
+            valuesB.push(valueB);
+            timestamps.push(new Date(t));
+        }
+    }
+    return { valuesA, valuesB, timestamps };
+}
+/**
+ * Linear interpolation at a specific timestamp
+ */
+function interpolateAt(points, timestamp) {
+    if (points.length === 0)
+        return null;
+    // Find surrounding points
+    let before = null;
+    let after = null;
+    for (const point of points) {
+        const t = point.timestamp.getTime();
+        if (t <= timestamp) {
+            before = point;
+        }
+        else {
+            after = point;
+            break;
+        }
+    }
+    if (!before && !after)
+        return null;
+    if (!before)
+        return after.value;
+    if (!after)
+        return before.value;
+    // Linear interpolation
+    const t1 = before.timestamp.getTime();
+    const t2 = after.timestamp.getTime();
+    const ratio = (timestamp - t1) / (t2 - t1);
+    return before.value + ratio * (after.value - before.value);
+}
+/**
+ * Calculate correlation between two metrics
+ */
+export function calculateCorrelation(metricIdA, metricIdB, lagDays = 0) {
+    const metricA = metrics.get(metricIdA);
+    const metricB = metrics.get(metricIdB);
+    if (!metricA || !metricB)
+        return null;
+    const { valuesA, valuesB } = alignMetrics(metricA, metricB, lagDays);
+    if (valuesA.length < 10)
+        return null; // Need minimum sample size
+    const correlation = pearsonCorrelation(valuesA, valuesB);
+    const pValue = correlationSignificance(correlation, valuesA.length);
+    return {
+        metricA: metricIdA,
+        metricB: metricIdB,
+        correlation,
+        lagDays,
+        pValue,
+        sampleSize: valuesA.length,
+        direction: correlation >= 0 ? 'positive' : 'negative',
+    };
+}
+/**
+ * Find all correlations for a metric
+ */
+export function findCorrelations(query) {
+    const results = [];
+    const minCorrelation = query.minCorrelation ?? 0.5;
+    const maxLag = query.maxLagDays ?? 30;
+    const targetMetric = metrics.get(query.metricId);
+    if (!targetMetric)
+        return results;
+    for (const [id, metric] of metrics) {
+        if (id === query.metricId)
+            continue;
+        // Check different lag values
+        for (let lag = 0; lag <= maxLag; lag++) {
+            const result = calculateCorrelation(query.metricId, id, lag);
+            if (result && Math.abs(result.correlation) >= minCorrelation && result.pValue < 0.05) {
+                results.push(result);
+            }
+            // Also check negative lag (B leads A)
+            if (lag > 0) {
+                const reverseResult = calculateCorrelation(id, query.metricId, lag);
+                if (reverseResult && Math.abs(reverseResult.correlation) >= minCorrelation && reverseResult.pValue < 0.05) {
+                    // Flip the result to show from perspective of query metric
+                    results.push({
+                        ...reverseResult,
+                        metricA: query.metricId,
+                        metricB: id,
+                        lagDays: -lag, // Negative lag means target is lagging
+                    });
+                }
+            }
+        }
+    }
+    // Sort by absolute correlation strength
+    results.sort((a, b) => Math.abs(b.correlation) - Math.abs(a.correlation));
+    // Deduplicate (keep strongest correlation per metric pair)
+    const seen = new Set();
+    const deduped = [];
+    for (const result of results) {
+        const key = [result.metricA, result.metricB].sort().join(':');
+        if (!seen.has(key)) {
+            seen.add(key);
+            deduped.push(result);
+        }
+    }
+    return deduped.slice(0, query.limit ?? 20);
+}
+/**
+ * Discover all significant correlations in the system
+ */
+export function discoverAllCorrelations(minCorrelation = 0.6, maxLagDays = 14) {
+    const allResults = [];
+    const metricList = Array.from(metrics.keys());
+    for (let i = 0; i < metricList.length; i++) {
+        for (let j = i + 1; j < metricList.length; j++) {
+            // Check contemporaneous
+            const result = calculateCorrelation(metricList[i], metricList[j], 0);
+            if (result && Math.abs(result.correlation) >= minCorrelation && result.pValue < 0.05) {
+                allResults.push(result);
+            }
+            // Check lagged relationships
+            for (let lag = 1; lag <= maxLagDays; lag++) {
+                const laggedAB = calculateCorrelation(metricList[i], metricList[j], lag);
+                if (laggedAB && Math.abs(laggedAB.correlation) >= minCorrelation && laggedAB.pValue < 0.05) {
+                    allResults.push(laggedAB);
+                }
+                const laggedBA = calculateCorrelation(metricList[j], metricList[i], lag);
+                if (laggedBA && Math.abs(laggedBA.correlation) >= minCorrelation && laggedBA.pValue < 0.05) {
+                    allResults.push(laggedBA);
+                }
+            }
+        }
+    }
+    // Sort and deduplicate
+    allResults.sort((a, b) => Math.abs(b.correlation) - Math.abs(a.correlation));
+    return allResults;
+}
+/**
+ * Detect anomalies in a metric using z-score
+ */
+export function detectAnomalies(metricId, threshold = 2.5) {
+    const metric = metrics.get(metricId);
+    if (!metric || metric.points.length < 10)
+        return [];
+    const values = metric.points.map(p => p.value);
+    const avg = mean(values);
+    const std = stdDev(values);
+    if (std === 0)
+        return [];
+    const anomalies = [];
+    for (const point of metric.points) {
+        const zScore = Math.abs((point.value - avg) / std);
+        if (zScore >= threshold) {
+            anomalies.push({
+                metricId,
+                timestamp: point.timestamp,
+                value: point.value,
+                expected: avg,
+                stdDeviations: zScore,
+                severity: zScore >= 4 ? 'high' : zScore >= 3 ? 'medium' : 'low',
+            });
+        }
+    }
+    return anomalies;
+}
+/**
+ * Detect all anomalies across all metrics
+ */
+export function discoverAllAnomalies(threshold = 2.5) {
+    const allAnomalies = [];
+    for (const metricId of metrics.keys()) {
+        const anomalies = detectAnomalies(metricId, threshold);
+        allAnomalies.push(...anomalies);
+    }
+    // Sort by severity and recency
+    allAnomalies.sort((a, b) => {
+        const severityOrder = { high: 3, medium: 2, low: 1 };
+        const severityDiff = severityOrder[b.severity] - severityOrder[a.severity];
+        if (severityDiff !== 0)
+            return severityDiff;
+        return b.timestamp.getTime() - a.timestamp.getTime();
+    });
+    return allAnomalies;
+}
+/**
+ * Detect trend in a metric using linear regression
+ */
+export function detectTrend(metricId, periodDays = 30) {
+    const metric = metrics.get(metricId);
+    if (!metric || metric.points.length < 5)
+        return null;
+    // Filter to period
+    const cutoff = Date.now() - periodDays * 86400000;
+    const recentPoints = metric.points.filter(p => p.timestamp.getTime() >= cutoff);
+    if (recentPoints.length < 5)
+        return null;
+    // Linear regression
+    const n = recentPoints.length;
+    const x = recentPoints.map((_, i) => i);
+    const y = recentPoints.map(p => p.value);
+    const meanX = mean(x);
+    const meanY = mean(y);
+    let numerator = 0;
+    let denominator = 0;
+    for (let i = 0; i < n; i++) {
+        numerator += (x[i] - meanX) * (y[i] - meanY);
+        denominator += (x[i] - meanX) * (x[i] - meanX);
+    }
+    const slope = denominator !== 0 ? numerator / denominator : 0;
+    const intercept = meanY - slope * meanX;
+    // Calculate R-squared
+    let ssRes = 0;
+    let ssTot = 0;
+    for (let i = 0; i < n; i++) {
+        const predicted = intercept + slope * x[i];
+        ssRes += Math.pow(y[i] - predicted, 2);
+        ssTot += Math.pow(y[i] - meanY, 2);
+    }
+    const rSquared = ssTot !== 0 ? 1 - ssRes / ssTot : 0;
+    // Calculate percent change
+    const firstValue = recentPoints[0].value;
+    const lastValue = recentPoints[recentPoints.length - 1].value;
+    const changePercent = firstValue !== 0 ? ((lastValue - firstValue) / firstValue) * 100 : 0;
+    // Determine direction (need significant slope and R²)
+    let direction = 'stable';
+    if (rSquared > 0.3 && Math.abs(changePercent) > 5) {
+        direction = slope > 0 ? 'up' : 'down';
+    }
+    return {
+        metricId,
+        direction,
+        slope,
+        rSquared,
+        changePercent,
+        period: {
+            start: recentPoints[0].timestamp,
+            end: recentPoints[recentPoints.length - 1].timestamp,
+        },
+    };
+}
+// ─── Pattern Conversion ──────────────────────────────
+/**
+ * Convert correlation results to Pattern format
+ */
+export function correlationToPattern(result) {
+    const isCausal = result.lagDays !== 0;
+    const data = {
+        type: isCausal ? 'causation' : 'correlation',
+        metricA: result.metricA,
+        metricB: result.metricB,
+        coefficient: result.correlation,
+        lagDays: result.lagDays,
+        sampleSize: result.sampleSize,
+    };
+    const metricA = metrics.get(result.metricA);
+    const metricB = metrics.get(result.metricB);
+    let summary;
+    if (isCausal) {
+        const direction = result.correlation > 0 ? 'increases' : 'decreases';
+        summary = `${metricA?.name || result.metricA} ${direction} → ${metricB?.name || result.metricB} follows ${Math.abs(result.lagDays)} days later`;
+    }
+    else {
+        const direction = result.correlation > 0 ? 'move together' : 'move opposite';
+        summary = `${metricA?.name || result.metricA} and ${metricB?.name || result.metricB} ${direction} (r=${result.correlation.toFixed(2)})`;
+    }
+    return {
+        id: `corr_${result.metricA}_${result.metricB}_${result.lagDays}`,
+        type: isCausal ? 'causation' : 'correlation',
+        confidence: 1 - result.pValue,
+        significance: 1 / Math.max(result.pValue, 0.001),
+        entities: [],
+        metrics: [result.metricA, result.metricB],
+        data,
+        discoveredAt: new Date(),
+        lastValidated: new Date(),
+        validationCount: 1,
+        summary,
+    };
+}
+/**
+ * Convert anomaly result to Pattern format
+ */
+export function anomalyToPattern(result) {
+    const metric = metrics.get(result.metricId);
+    const data = {
+        type: 'anomaly',
+        metric: result.metricId,
+        value: result.value,
+        expected: result.expected,
+        stdDeviations: result.stdDeviations,
+        timestamp: result.timestamp,
+    };
+    const direction = result.value > result.expected ? 'spike' : 'drop';
+    const summary = `Unusual ${direction} in ${metric?.name || result.metricId}: ${result.value.toFixed(1)} vs expected ${result.expected.toFixed(1)}`;
+    return {
+        id: `anom_${result.metricId}_${result.timestamp.getTime()}`,
+        type: 'anomaly',
+        confidence: Math.min(result.stdDeviations / 5, 1),
+        significance: result.stdDeviations,
+        entities: [],
+        metrics: [result.metricId],
+        data,
+        discoveredAt: new Date(),
+        lastValidated: new Date(),
+        validationCount: 1,
+        summary,
+    };
+}
+/**
+ * Clear all metrics (for testing)
+ */
+export function clearMetrics() {
+    metrics.clear();
+}
+//# sourceMappingURL=correlation.js.map

package/dist/correlation.js.map

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