Kullback-Leibler Approach to CUSUM Quickest Detection Rule for Markovian Time Series (Q4632466): Difference between revisions

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Revision as of 02:54, 19 July 2024

scientific article; zbMATH DE number 7048713
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Kullback-Leibler Approach to CUSUM Quickest Detection Rule for Markovian Time Series
scientific article; zbMATH DE number 7048713

    Statements

    Kullback-Leibler Approach to CUSUM Quickest Detection Rule for Markovian Time Series (English)
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    29 April 2019
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    change-point detection
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    CUSUM detection procedure
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    ergodic theorem of information theory
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    Kullback-Leibler divergence
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    relative entropy
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    sequential detection
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    Sparre Andersen models
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