A CUSUM-type rule built from least favorable distributions is proven robust optimal for quickest change detection in multi-stream non-stationary processes with unknown pre- and post-change laws.
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Robust Quickest Change Detection in Multi-Stream Non-Stationary Processes
A CUSUM-type rule built from least favorable distributions is proven robust optimal for quickest change detection in multi-stream non-stationary processes with unknown pre- and post-change laws.