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On robustness of the Shiryaev-Roberts change-point detection procedure under parameter misspecification in the post-change distribution.
Wenyu Du
Aleksey S. Polunchenko
Grigory Sokolov
Published in:
Commun. Stat. Simul. Comput. (2017)
Keyphrases
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change point detection
change point
outlier detection
singular spectrum analysis
non stationary
sequential data
high dimensional time series
data structure
edge detector
normalized maximum likelihood
learning algorithm
information theoretic
digital camera