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In this paper, the quickest change detection problem is studied in two-state hidden Markov models (HMM), where the vector parameter of the HMM changes from to at some unknown time, and one wants to detect the true change as quickly as possible while controlling the false alarm rate. It turns out that the generalized likelihood ratio (GLR) scheme, while theoretically...
The quickest change detection problem is studied in two-state hidden Markov models (HMM), where the vector parameter θ of the HMM may change from θ0 to θ1 at some unknown time, and one wants to detect the true change as quickly as possible while controlling the false alarm rate. It turns out that the generalized likelihood ratio (GLR) scheme, while theoretically straightforward, is generally computationally...
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