{"paper":{"title":"Asymptotically Optimal Change Point Detection for Composite Hypothesis in State Space Models","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.PR","authors_text":"Cheng-Der Fuh","submitted_at":"2019-06-08T08:21:51Z","abstract_excerpt":"This paper investigates change point detection in state space models, in which the pre-change distribution $f^{\\theta_0}$ is given, while the poster distribution $f^{\\theta}$ after change is unknown. The problem is to raise an alarm as soon as possible after the distribution changes from $f^{\\theta_0}$ to $f^{\\theta}$, under a restriction on the false alarms. We investigate theoretical properties of a weighted Shiryayev-Roberts-Pollak (SRP) change point detection rule in state space models. By making use of a Markov chain representation for the likelihood function, exponential embedding of the"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1906.03416","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}