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2012

Plug-in martingales for testing exchangeability on-line

Fedorova, Valentina, Gammerman, Alex, Nouretdinov, Ilia et al.

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A standard assumption in machine learning is the exchangeability of data, which is equivalent to assuming that the examples are generated from the same probability distribution independently.

This paper is devoted to testing the assumption of exchangeability on-line: the examples arrive one by one, and after receiving each example we would like to have a valid measure of the degree to which the assumption of exchangeability has been falsified.
Such measures are provided by exchangeability martingales.
We extend known techniques for constructing exchangeability martingales and show that our new method is competitive with the martingales introduced before.

Plug-in martingales for testing exchangeability on-line · Around

Built on

Etude critique de la notion de collectif
Ville, J · 1939
Earlier work this paper cites.
Information Theory and Statistics
Kullback, S · 1959
Earlier work this paper cites.
Theory of Statistics
Schervish, M. J · 1995
Earlier work this paper cites.

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Then

Testing exchangeability on-line
Vovk, V., Nouretdinov, I., and Gammerman, A · 2003
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A martingale framework for concept change detection in time-varying data streams
Ho, S.-S · 2005
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UCI repository, 2010
Frank, A. and Asuncion, A · 2010
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