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• W1605577234 abstract "The problem of sequential detection of a change- point in the density function of observations from a sequence of independent random variables is considered when both before and after a change-point this density function belongs to a certain family of distributions, i.e. in the general situation of composite hypotheses. A new quality criterion for change-point detection is proposed. The asymptotic a priori lower bound for this criterion is established for any method of change-point detection. A method of change-point detection is proposed for which this lower bound is attained asymptotically so that the method can be called asymptotically optimal. In particular, for the case of a simple hypothesis before a change-point, this method coincides with the generalized cumulative sums (CUSUM) method." @default.
• W1605577234 created "2016-06-24" @default.
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• W1605577234 date "2006-10-04" @default.
• W1605577234 modified "2023-09-27" @default.
• W1605577234 title "Asymptotically Optimal Sequential Change-Point Detection under Composite Hypotheses" @default.
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• W1605577234 doi "https://doi.org/10.1109/cdc.2005.1583347" @default.
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