Sequential Change-Point Detection via Online Convex Optimization
Sequential change-point detection when the distribution parameters are unknown is a fundamental problem in statistics and machine learning. When the post-change parameters are unknown, we consider a set of detection procedures based on sequential likelihood ratios with non-anticipating estimators co...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-02-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1099-4300/20/2/108 |