Detecting Changes in Hidden Markov Models
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We consider the problem of sequential detection of a change in the statistical behavior of a hidden Markov model. By adopting a worst-case analysis with respect to the time of change and by taking into account the data that can be accessed by the change-imposing mechanism we offer alternative formulations of the problem. For each formulation we derive the optimum Shewhart test that maximizes the worst-case detection probability while guaranteeing infrequent false alarms.
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