RDE-CUSUM combines robust CUSUM with on-off sampling control to detect distribution changes with unknown post-change laws while skipping a controlled fraction of observations, and is claimed asymptotically robust optimal.
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Robust Quickest Change Detection with Sampling Control
RDE-CUSUM combines robust CUSUM with on-off sampling control to detect distribution changes with unknown post-change laws while skipping a controlled fraction of observations, and is claimed asymptotically robust optimal.