Sequential change-point detection when unknown parameters are present in the pre-change distribution
变化前分布含未知参数时的序贯变点检测
In the sequential change-point detection literature, most research specifies a required frequency of false alarms at a given pre-change distribution fθ and tries to minimize the detection delay for every possible post-change distribution gλ. In this paper, motivated by a number of practical examples, we first consider the reverse question by specifying a required detection delay at a given post-change distribution and trying to minimize the frequency of false alarms for…