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The Exponentially Weighted Average (EWA) of observations is known to be a state-of-art estimator for tracking expectations of dynamically varying data stream distributions. However, how to devise an EWA estimator to track quantiles of data stream distributions is not obvious. In this paper, we present a lightweight quantile estimator using a generalized form of the EWA. To the best of our knowledge,...
Many real-life dynamical systems experience abrupt changes followed by almost stationary periods. In this paper, we consider streams of data exhibiting such abrupt behavior and investigate the problem of tracking their statistical properties in an online manner. Wedevise a tracking procedure where an estimator that is suitable for a stationary environment is combined together with an estimator suitable...
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