Asymptotic operating characteristics of an optimal change point detection in hidden Markov models

Cheng-Der Fuh

Let ξ_0,ξ_1,...,ξ_{ω-1} be observations from the hidden Markov model with probability distribution P^{θ_0}, and let ξ_ω,ξ_{ω+1},... be observations from the hidden Markov model wit…