A new approximation method for the log-likelihood ratio allows robust sequential change-point detection in non-Gaussian processes using moments up to order 3s.
Chap- man and Hall/CRC, August 2014
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Generalized Stochastic Approximation of the Log-Likelihood Ratio for Robust Sequential Change-Point Detection
A new approximation method for the log-likelihood ratio allows robust sequential change-point detection in non-Gaussian processes using moments up to order 3s.