QUICKEST DETECTION OF COMPOSITE AND NON-STATIONARY CHANGES WITH APPLICATION TO PANDEMIC MONITORING

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

Abstract

The problem of quickest detection of a change in the distribution of a sequence of independent observations is considered. The pre-change distribution is assumed to be known and stationary, while the post-change distributions are assumed to evolve in a pre-determined non-stationary manner with some possible parametric uncertainty. In particular, it is assumed that the cumulative KL divergence between the post-change and the pre-change distributions grows super-linearly with time after the change-point. For the case where the post-change distributions are known, a universal asymptotic lower bound on the delay is derived, as the false alarm rate goes to zero. Furthermore, a window-limited CuSum test is developed, and shown to be asymptotically optimal. For the case where the post-change distributions have parametric uncertainty, a window-limited generalized likelihood-ratio test is developed and is shown to be asymptotically optimal. The analysis is validated through numerical results on synthetic data. The use of the window-limited generalized likelihood-ratio test in monitoring pandemics is also demonstrated.

Original languageEnglish (US)
Title of host publication2022 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2022 - Proceedings
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages5807-5811
Number of pages5
ISBN (Electronic)9781665405409
DOIs
StatePublished - 2022
Event47th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2022 - Virtual, Online, Singapore
Duration: May 23 2022May 27 2022

Publication series

NameICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
Volume2022-May
ISSN (Print)1520-6149

Conference

Conference47th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2022
Country/TerritorySingapore
CityVirtual, Online
Period5/23/225/27/22

Keywords

  • generalized likelihood-ratio (GLR) test
  • non-stationary observations
  • pandemic monitoring
  • Quickest change detection (QCD)
  • window-limited sequential test

ASJC Scopus subject areas

  • Software
  • Signal Processing
  • Electrical and Electronic Engineering

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