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Incremental Variance #150

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blablahaha opened this issue Oct 14, 2018 · 1 comment
Closed

Incremental Variance #150

blablahaha opened this issue Oct 14, 2018 · 1 comment

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@blablahaha
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I'm confused with Incremental Variance in ADWIN (concept drift algorithm):

incVariance = (WIDTH - 1) * (Value - TOTAL / (WIDTH - 1)) * (Value - TOTAL / (WIDTH - 1)) / WIDTH;

I found it is different with this Wikipedia Formula.

Could you help me with this?
Thanks

@abifet
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abifet commented Jan 16, 2019

ADWIN computes variance using exponential histograms. It is explained in this paper:

http://ilpubs.stanford.edu:8090/749/

Babcock, Brian and Datar, Mayur and Motwani, Rajeev and O'Callaghan, Liadan (2003) Maintaining Variance and k-Medians over Data Stream Windows. In: ACM Symposium on Principles of Database Systems (PODS 2003), June 9-12, 2003, San Diego, California.

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