Work

Weiss-Weinstein bound for change-point estimation

Year: 2015

Type: conference-paper

Abstract: We compute the Weiss-Weinstein bound in the context of change-point estimation in a multivariate time series whatever the considered distribution of the data as well the prior. Closed-form expressions are then given in the case of Gaussian observations with change of mean and variance and in the case of parameter change in a Poisson distribution. The proposed bound is shown to be tighter than the previous bounds which were originally derived in the deterministic context and provides a better approximation of the maximum a posteriori estimator global mean square error.

Source: IEEE International Workshop on Computational Advances in Multi-Sensor Adaptive Processing

DOI: 10.1109/camsap.2015.7383837

Authors: Lucien Bacharach, Alexandre Renaux, Mohammed Nabil El Korso, Eric Chaumette

Institutions: Université Paris-Sud, Université Paris Nanterre

Language: English

Topic: Advanced Statistical Process Monitoring

Subfield: Statistics, Probability and Uncertainty

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2237849299

FWCI: 6.771

Cites: 17

Cited by: 7

Related to: 10