Determining the Training Window for Small Sample Size Classification with Concept Drift

We consider classification of sequential data in the presence of frequent and abrupt concept changes. The current practice is to use the data after the change to train a new classifier. However, if the window with the new data is too small, the classifier will be undertrained and hence less accurate that the "old'' classifier. Here we propose a method (called WR*) for resizing the training window after detecting a concept change. Experiments with synthetic and real data demonstrate the advantages of WR* over other window resizing methods.