Data-Efficient Minimax Quickest Change Detection With Composite Post-Change Distribution
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Abstract: The problem of quickest change detection is studied, where there is an additional constraint on the cost of observations used before the change point and where the post-change distribution is composite. Minimax formulations are proposed for this problem. It is assumed that the post-change family of distributions has a member which is least favorable in some sense. An algorithm is proposed in which on-off observation control is employed using the least favorable distribution, and a generalized likelihood ratio based approach is used for change detection. Under the additional condition that either the post-change family of distributions is finite, or both the pre- and post-change distributions belong to a one parameter exponential family, it is shown that the proposed algorithm is asymptotically optimal, uniformly for all possible post-change distributions.
Cited in
(6)- Minimax optimal sequential hypothesis tests for Markov processes
- Large-Scale Multi-Stream Quickest Change Detection via Shrinkage Post-Change Estimation
- A Binning Approach to Quickest Change Detection With Unknown Post-Change Distribution
- Quickest change point detection with multiple postchange models
- Model misspecification in discrete time Bayesian online change detection
- Online change points detection for linear dynamical systems with finite sample guarantees
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