An improved AFF algorithm for continuous monitoring for changepoints in data streams

Junlong Zhao, Mengying An, Xiaoling Lu, Yiwei Fan, Menghang Liu

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

Changepoints detection of online data streams is a very important issue. Adaptive estimation using a forgetting factor (briefly AFF) is an efficient algorithm for this problem. However, AFF assumes the pre-change distribution is normal, which is restrictive. In addition, AFF uses a defaulted step size 0.01. In fact, numerical results show that the step size has significant impact on the final performance of AFF algorithm, and a principle is lacking on choosing the step size. In this paper, we develop an improved AFF algorithm (briefly, IAFF). Specifically, a distribution free measure for declaring changepoints is proposed, which makes IAFF algorithm performing well for different pre-change distributions. Moreover, a general principle on choosing the step size is proposed based on intensive numerical study. Simulation results show that IAFF algorithm has much better performance than AFF in different situations.

Original languageEnglish
Title of host publicationICCPR 2018 - Proceedings of 2018 International Conference on Computing and Pattern Recognition
PublisherAssociation for Computing Machinery
Pages7-13
Number of pages7
ISBN (Electronic)9781450364713
DOIs
Publication statusPublished - 23 Jun 2018
Externally publishedYes
Event2018 International Conference on Computing and Pattern Recognition, ICCPR 2018 - Shenzhen, China
Duration: 23 Jun 201825 Jun 2018

Publication series

NameACM International Conference Proceeding Series

Conference

Conference2018 International Conference on Computing and Pattern Recognition, ICCPR 2018
Country/TerritoryChina
CityShenzhen
Period23/06/1825/06/18

Keywords

  • Adaptive estimation
  • Changepoints detection
  • Forgetting factor
  • Location data
  • Streaming data

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Cite this

Zhao, J., An, M., Lu, X., Fan, Y., & Liu, M. (2018). An improved AFF algorithm for continuous monitoring for changepoints in data streams. In ICCPR 2018 - Proceedings of 2018 International Conference on Computing and Pattern Recognition (pp. 7-13). (ACM International Conference Proceeding Series). Association for Computing Machinery. https://doi.org/10.1145/3232829.3232842