Prior Influence on Weiss-Weinstein Bounds for Multiple Change- Point Estimation

Abstract

In this paper, we study the influence of the prior distribution on the Weiss-Weinstein bound (WWB) in the ubiquitous multiple change-point estimation problem. As by product, we derive a closed form expressions of the WWB for different commonly used prior. Numerical results reveal some insightful properties and corroborate the proposed theoretical analysis.