Optimal Window Change Detection

  • Authors:
  • Jan Peter Patist

  • Affiliations:
  • -

  • Venue:
  • ICDMW '07 Proceedings of the Seventh IEEE International Conference on Data Mining Workshops
  • Year:
  • 2007

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Abstract

It is recognized that change detection is an important feature in many data stream applications. An appealing approach is to reformulate the problem of change detec- tion in data streams to the successive application of two sample tests, as proposed in [7]. Usually the underlying data-generation process is unknown. Consequently, non- parametric tests like the Kolmogorov-Smirnov (KS) test are desirable. Maintenance of the KS-test statistic can be per- formed efficiently in O(log(n)) per example, where n is the window size. However this can only be achieved by assum- ing a fixed window size. Because there exist no any time optimal window size, it is highly desirable to obtain a vari- able size window algorithm. In this paper we propose an efficient approximate algorithm for the maintenance of the KS-test statistic under the optimal window size.