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.
https://hal-centralesupelec.archives-ouvertes.fr/hal-01234929 Contributor : Alexandre RenauxConnect in order to contact the contributor Submitted on : Friday, November 27, 2015 - 2:13:43 PM Last modification on : Friday, October 22, 2021 - 3:03:58 AM Long-term archiving on: : Saturday, April 29, 2017 - 3:32:07 AM
Lucien Bacharach, Alexandre Renaux, Mohammed Nabil El Korso, Eric Chaumette. Weiss-Weinstein bound for change-point estimation. IEEE 6th International Workshop on Computational Advances in Multi-Sensor Adaptive Processing (CAMSAP 2015) , Dec 2015, Cancun, Mexico. ⟨hal-01234929⟩