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Current drift detection techniques detect a change in distribution within a stream. However, there are no current techniques that analyze the change in the rate of these detected changes. We coin the term stream volatility, to describe the rate of changes in a stream. A stream has a high volatility if changes are detected frequently and has a low volatility if changes are detected infrequently. We are particularly interested in a volatility shift which is a change in the rate of change (e.g. from high volatility to low volatility). We introduce and define the concept of stream volatility, and propose a novel technique to detect volatility on data streams in the presence of concept drifts. In the experiments we show our algorithm to be both fast and efficient. We also propose a new algorithm for drift detection called SEED that is faster and more memory efficient than the existing state-of-the-art drift detection approach. A faster drift detection algorithm has a flow-on benefit to the subsequent volatility detection stage because both algorithms run concurrently on the data stream.

In this research we present a novel approach to the concept change detection problem. Change detection is a fundamental issue with data stream mining as classification models generated need to be updated when significant changes in the underlying data distribution occur. A number of change detection approaches have been proposed but they all suffer from limitations with respect to one or more key performance factors such as high computational complexity, poor sensitivity to gradual change, or the opposite problem of high false positive rate. Our approach uses reservoir sampling to build a sequential change detection model that offers statistically sound guarantees on false positive and false negative rates but has much smaller computational complexity than the ADWIN concept drift detector. Extensive experimentation on a wide variety of datasets reveals that the scheme also has a smaller false detection rate while maintaining a competitive true detection rate to ADWIN.

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