Optimal change point detection in Gaussian processes
نویسندگان
چکیده
منابع مشابه
Optimal change point detection in Gaussian processes
We study the problem of detecting a change in the mean of one-dimensional Gaussian process data. This problem is investigated in the setting of increasing domain (customarily employed in time series analysis) and in the setting of fixed domain (typically arising in spatial data analysis). We propose a detection method based on the generalized likelihood ratio test (GLRT), and show that our meth...
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ژورنال
عنوان ژورنال: Journal of Statistical Planning and Inference
سال: 2018
ISSN: 0378-3758
DOI: 10.1016/j.jspi.2017.09.003