Sequential Change Detection through Empirical Distribution and Universal Codes
Information Theory
2021-12-15 v1 math.IT
Abstract
Universal compression algorithms have been studied in the past for sequential change detection, where they have been used to estimate the post-change distribution in the modified version of the Cumulative Sum (CUSUM) Test. In this paper, we introduce a modified CUSUM test where the pre-change distribution is also unknown and an empirical version of the pre-change distribution is used to implement the algorithm. We present a study of various characteristics of this modified CUSUM Test and then prove its asymptotic optimality.
Cite
@article{arxiv.2112.07549,
title = {Sequential Change Detection through Empirical Distribution and Universal Codes},
author = {Vikrant Malik and R. K. Bansal},
journal= {arXiv preprint arXiv:2112.07549},
year = {2021}
}