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Detecting Metachanges in Data Streams from the Viewpoint of the MDL Principle

Department of Mathematical Informatics, Graduate School of Information Science and Technology, The University of Tokyo, 7-3-1 Hongo, Bunkyo-ku 113-8656, Japan
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Entropy 2019, 21(12), 1134; https://doi.org/10.3390/e21121134
Received: 11 October 2019 / Revised: 11 November 2019 / Accepted: 16 November 2019 / Published: 20 November 2019
(This article belongs to the Special Issue Information-Theoretical Methods in Data Mining)
This paper addresses the issue of how we can detect changes of changes, which we call metachanges, in data streams. A metachange refers to a change in patterns of when and how changes occur, referred to as “metachanges along time” and “metachanges along state”, respectively. Metachanges along time mean that the intervals between change points significantly vary, whereas metachanges along state mean that the magnitude of changes varies. It is practically important to detect metachanges because they may be early warning signals of important events. This paper introduces a novel notion of metachange statistics as a measure of the degree of a metachange. The key idea is to integrate metachanges along both time and state in terms of “code length” according to the minimum description length (MDL) principle. We develop an online metachange detection algorithm (MCD) based on the statistics to apply it to a data stream. With synthetic datasets, we demonstrated that MCD detects metachanges earlier and more accurately than existing methods. With real datasets, we demonstrated that MCD can lead to the discovery of important events that might be overlooked by conventional change detection methods. View Full-Text
Keywords: change detection; change of change; data stream; minimum description length principle; code length change detection; change of change; data stream; minimum description length principle; code length
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Fukushima, S.; Yamanishi, K. Detecting Metachanges in Data Streams from the Viewpoint of the MDL Principle. Entropy 2019, 21, 1134.

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