Weiss-Weinstein bound for change-point estimation

Lucien Bacharach (1) , Alexandre Renaux (1) , Mohammed Nabil El Korso (2) , Eric Chaumette (3)

1 L2S - Laboratoire des signaux et systèmes
2 LEME - Laboratoire Energétique Mécanique Electromagnétisme
3 ISAE-SUPAERO - Institut Supérieur de l'Aéronautique et de l'Espace

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.

Domains: Signal and Image Processing

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⟩