DocumentCode :
3731850
Title :
Weiss-Weinstein bound for change-point estimation
Author :
Lucien Bacharach;Alexandre Renaux;Mohammed Nabil El Korso;Eric Chaumette
Author_Institution :
Universit? Paris-Sud/L2S, France
fYear :
2015
Firstpage :
465
Lastpage :
468
Abstract :
We compute the Weiss-Weinstein bound in the context of change-point estimation in a multivariate time series whatever the considered distribution of the data as well the prior. Closed-form expressions are then given in the case of Gaussian observations with change of mean and variance and in the case of parameter change in a Poisson distribution. The proposed bound is shown to be tighter than the previous bounds which were originally derived in the deterministic context and provides a better approximation of the maximum a posteriori estimator global mean square error.
Keywords :
"Yttrium","Estimation","Context","Bayes methods","Conferences","Time series analysis","Closed-form solutions"
Publisher :
ieee
Conference_Titel :
Computational Advances in Multi-Sensor Adaptive Processing (CAMSAP), 2015 IEEE 6th International Workshop on
Type :
conf
DOI :
10.1109/CAMSAP.2015.7383837
Filename :
7383837
Link To Document :
بازگشت