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International Conference on Innovative Techniques and Applications of Artificial Intelligence

SGAI 2012: Research and Development in Intelligent Systems XXIX pp 79–92Cite as

A Geometric Moving Average Martingale method for detecting changes in data streams

Abstract

In this paper, we propose a Geometric Moving Average Martingale (GMAM) method for detecting changes in data streams. There are two components underpinning the GMAM method. The first is the exponential weighting of observations which has the capability of reducing false changes. The second is the use of the GMAM value for hypothesis testing. When a new data point is observed, the hypothesis testing decides whether any change has occurred on it based on the GMAM value. Once a change is detected, then all variables of the GMAM algorithm are re-initialized in order to find other changes. The experiments show that the GMAM method is effective in detecting concept changes in two synthetic time-varying data streams and a real world dataset ‘Respiration dataset’.

Keywords

  • Data Stream
  • Control Chart
  • Concept Drift
  • Sequential Probability Ratio Test
  • Martingale Theory

These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Authors and Affiliations

  1. University of Ulster, Jordanstown Newtownabbey, Northern Ireland, UK, BT37 0QB

    X. Z. Kong, Y. X. Bi & D. H. Glass

Authors
  1. X. Z. Kong
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  2. Y. X. Bi
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  3. D. H. Glass
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Corresponding author

Correspondence to X. Z. Kong .

Editor information

Editors and Affiliations

  1. School of Computing, University of Portsmouth, Whitepost Lane The Lilacs, Portsmouth, PO1 3AH, Hampshire, United Kingdom

    Max Bramer

  2. School of Computing, Engineering & Mathe, University of Brighton, Lewes Road, Brighton, BN2 4GJ, West Sussex, United Kingdom

    Miltos Petridis

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© 2012 Springer-Verlag London

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Kong, X.Z., Bi, Y.X., Glass, D.H. (2012). A Geometric Moving Average Martingale method for detecting changes in data streams. In: Bramer, M., Petridis, M. (eds) Research and Development in Intelligent Systems XXIX. SGAI 2012. Springer, London. https://doi.org/10.1007/978-1-4471-4739-8_6

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  • DOI: https://doi.org/10.1007/978-1-4471-4739-8_6

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