Misspecified and Asymptotically Minimax Robust Quickest Change Detection
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DOI: 10.1109/tsp.2017.2740202
Abstract: We investigate the quickest detection of an unknown change in the distribution of a stochastic process generating independent and identically distributed observations. We develop new bounds on the performance of misspecified cumulative sum (CUSUM) rules,… read more here.
Keywords: quickest change; detection; robust quickest; change ... See more keywords