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.
An efficient sequential nonparametric scheme for detecting a change of distribution.The Annals of Statistics, 22(2):763–804, 1994
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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.