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

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’.