M. Malyutov

Quadratic risk of Change Point detection

This paper continues my paper in IP, 17:3, 2017. We establish sharp order of magnitude bounds in Quadratic risk of Change Point detection online and offline for slow HMM-SCOT model.

КЛЮЧЕВЫЕ СЛОВА: Change Point detection online and offline, quadratic risk, martingale, submartingale, supermartingal, functional CLT, large deviations