  Universal compression algorithms have been studied in the past for sequential
change detection, where they have been used to estimate the post-change
distribution in the modified version of the Cumulative Sum (CUSUM) Test. In
this paper, we introduce a modified CUSUM test where the pre-change
distribution is also unknown and an empirical version of the pre-change
distribution is used to implement the algorithm. We present a study of various
characteristics of this modified CUSUM Test and then prove its asymptotic
optimality.
