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We consider the problem of quickest detection of abrupt changes for processes that are not necessarily independent and identically distributed (i.i.d.) before and after the change. By making a very simple observation that applies to most well-known optimum stopping times developed for this problem (in particular CUSUM and Shiryayev-Roberts (1963) stopping rule) we show that their optimality can be easily extended to more general processes than the usual i.i.d. case.
George V. Moustakides (Thu,) studied this question.