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In this paper, the problem of identifying correlated components in a high-dimensional Gaussian vector is considered. In the setup considered, instead of having to take a full-vector observation at each time index, the observer is allowed to observe any subset or full set of components in the vector, and he has the freedom to design his sampling strategies over time. The observer aims to find an optimal...
In this paper, the problem of detecting correlated components in a p-dimensional Gaussian vector is considered. In the setup considered, s unknown components are correlated with a known covariance structure. Hence, there are equation possible hypotheses for the unknown set of correlated components. Instead of taking a full-vector observation at each time index, in this paper we assume that the observer...
In this paper, Bayesian quickest change detection problems with sampling right constraints are considered. In particular, there is a sequence of random variables whose probability density function will change at an unknown time. The goal is to detect this change in a way such that a linear combination of the average detection delay and the false alarm probability is minimized. Two types of sampling...
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