Kaplan-Meier-based non-parametric estimators for ARL and ADD in quickest changepoint detection are derived with bias bounds and shown to be asymptotically unbiased for finite sequences without extrapolation.
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Accurate Evaluation of Quickest Changepoint Detectors via Non-parametric Survival Analysis
Kaplan-Meier-based non-parametric estimators for ARL and ADD in quickest changepoint detection are derived with bias bounds and shown to be asymptotically unbiased for finite sequences without extrapolation.