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Conference papers
Weiss-Weinstein bound for change-point estimation
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.
Cited literature [15 references]
https://hal-centralesupelec.archives-ouvertes.fr/hal-01234929
Contributor : Alexandre Renaux <>
Submitted on : Friday, November 27, 2015 - 2:13:43 PM
Last modification on : Wednesday, April 8, 2020 - 4:03:14 PM
Document(s) archivé(s) le : Saturday, April 29, 2017 - 3:32:07 AM
Contributor : Alexandre Renaux <>
Submitted on : Friday, November 27, 2015 - 2:13:43 PM
Last modification on : Wednesday, April 8, 2020 - 4:03:14 PM
Document(s) archivé(s) le : Saturday, April 29, 2017 - 3:32:07 AM
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WWBChange.pdf
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Distributed under a Creative Commons Attribution 4.0 International License
