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Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis.
Serguei Pergamenchtchikov
Alexander G. Tartakovsky
Published in:
J. Multivar. Anal. (2019)
Keyphrases
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asymptotically optimal
pointwise
stochastic models
change point detection
weighted sum
stochastic processes
special case
stochastic model
heavy traffic
optimal policy
outlier detection
model selection
sequential data