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ICML
2005
IEEE

A martingale framework for concept change detection in time-varying data streams

9 years 8 months ago
A martingale framework for concept change detection in time-varying data streams
In a data streaming setting, data points are observed one by one. The concepts to be learned from the data points may change infinitely often as the data is streaming. In this paper, we extend the idea of testing exchangeability online (Vovk et al., 2003) to a martingale framework to detect concept changes in time-varying data streams. Two martingale tests are developed to detect concept changes using: (i) martingale values, a direct consequence of the Doob's Maximal Inequality, and (ii) the martingale difference, justified using the Hoeffding-Azuma Inequality. Under some assumptions, the second test theoretically has a lower probability than the first test of rejecting the null hypothesis, "no concept change in the data stream", when it is in fact correct. Experiments show that both martingale tests are effective in detecting concept changes in time-varying data streams simulated using two synthetic data sets and three benchmark data sets.
Shen-Shyang Ho
Added 17 Nov 2009
Updated 17 Nov 2009
Type Conference
Year 2005
Where ICML
Authors Shen-Shyang Ho
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