Asymptotics of quickest change detection procedures under a Bayesian criterion

Venugopal V. Veeravalli, Alexander G. Tartakovsky

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

The optimal detection procedure for detecting changes in independent and identically distributed sequences (i.i.d.) in a Bayesian setting was derived by Shiryaev in the nineteen sixties. However, the analysis of the performance of this procedure in terms of the average detection delay and false alarm probability has been an open problem. In this paper, we investigate the performance of Shiryaev's procedure in an asymptotic setting where the false alarm probability goes to zero. The asymptotic study is performed not only in. the i.d.d. case where the Shiryaev's procedure is optimal but also in a general, non-i.i.d. case. In the latter case, we show that Shiryaev's procedure is asymptotically optimum under mild conditions. We also show that the two popular non-Bayesian detection procedures, namely the Page and Shiryaev-Roberts-Pollak procedures, are not optimal (even asymptotically) under the Bayesian criterion. The results of this study are shown to be especially important in studying the asymptotics of decentralized quickest change detection procedures.

Original languageEnglish (US)
Title of host publicationProceedings of the 2002 IEEE Information Theory Workshop, ITW 2002
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages100-103
Number of pages4
ISBN (Electronic)0780376293, 9780780376298
DOIs
StatePublished - 2002
Event2002 IEEE Information Theory Workshop, ITW 2002 - Bangalore, India
Duration: Oct 20 2002Oct 25 2002

Publication series

NameProceedings of the 2002 IEEE Information Theory Workshop, ITW 2002

Other

Other2002 IEEE Information Theory Workshop, ITW 2002
CountryIndia
CityBangalore
Period10/20/0210/25/02

ASJC Scopus subject areas

  • Information Systems
  • Electrical and Electronic Engineering
  • Computer Networks and Communications
  • Computational Theory and Mathematics

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