Bayesian sequential change diagnosis

@article{Dayanik2008BayesianSC,
  title={Bayesian sequential change diagnosis},
  author={Savas Dayanik and Christian Goulding and H. Vincent Poor},
  journal={Math. Oper. Res.},
  year={2008},
  volume={33},
  pages={475-496}
}
Sequential change diagnosis is the joint problem of detection and identification of a sudden and unobservable change in the distribution of a random sequence. In this problem, the common probability law of a sequence of i.i.d. random variables suddenly changes at some disorder time to one of finitely many alternatives. This disorder time marks the start of a new regime, whose fingerprint is the new law of observations. Both the disorder time and the identity of the new regime are unknown and… CONTINUE READING

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