Asymptotically Optimal Change Point Detection for Composite Hypothesis in State Space Models

DOI10.1109/TIT.2020.3029096zbMath1473.62278arXiv1906.03416OpenAlexW3092633408MaRDI QIDQ5151726

Cheng-Der Fuh

Publication date: 22 February 2021

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.03416

zbMATH Keywords

asymptotic approximation for expected stopping timesecond-order asymptotically optimalweighted Shiryayev-Roberts-Pollak (SRP) change point detection rule

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Markov processes: hypothesis testing (62M02)

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