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Browsing by Subject "Kullback-Leibler divergence"

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    • Optimality of the CUSUM procedure in continuous time 

      Moustakides, G. V. (2004)
      The optimality of CUSUM under a Lorden-type criterion setting is considered. We demonstrate the optimality of the CUSUM test for lto processes, in a sense similar to Lorden's, but with a criterion that replaces expected ...