Adaptive threshold computation for CUSUM-type procedures in change detection and isolation problems

  • Authors:
  • Ghislain Verdier;Nadine Hilgert;Jean-Pierre Vila

  • Affiliations:
  • UMR Analyse des Systèmes et Biométrie - SUPAGRO-INRA, 2 place Viala, 34060 Montpellier, France;UMR Analyse des Systèmes et Biométrie - SUPAGRO-INRA, 2 place Viala, 34060 Montpellier, France;UMR Analyse des Systèmes et Biométrie - SUPAGRO-INRA, 2 place Viala, 34060 Montpellier, France

  • Venue:
  • Computational Statistics & Data Analysis
  • Year:
  • 2008

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Abstract

Ever since the introduction of hidden Markov models by Baum and his co-workers, the method of choice for fitting such models has been maximum likelihood via the EM algorithm. In recent years it has been noticed that the gradient and Hessian of the log ...