In many applications such as e-commerce, system diagnosis and telecommunication services, data arrives in streams at a high speed. It is common that the underlying process generating the stream may change over time, either as a result of the fundamental evolution or in response to some external stimulus. Detecting these changes is a very challenging problem of great practical importance. The overall volume of the stream usually far exceeds the available main memory and access to the data stream is typically performed via a linear scan in ascending order of the indices of the records. In this paper, we propose a novel approach, AGILE, to monitor streaming data and to detect distinguishable transitions of the underlying processes. AGILE has many advantages over the traditional Hidden Markov Model, e.g., AGILE only requires one scan of the data.