Abstract
The change point detection (CPD) problem in a time series is when it is found that the structure of the data being generated has changed at some time and for some reason. We have formulated structural change detection in a time series as an optimal stopping problem using the concept of dynamic programming (DP), and we present the optimal solution and its correctness by numerical calculations. In this article, we present the solution theorem and its proof using reduction to absurdity.
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