TY - GEN
T1 - Sequential Change Detection of a Correlation Structure under a Sampling Constraint
AU - Chaudhuri, Anamitra
AU - Fellouris, Georgios
AU - Tajer, Ali
N1 - Funding Information:
This work was supported in part by the U.S. National Science Foundation through grant NSF ATD 1737962.
Publisher Copyright:
© 2021 IEEE.
PY - 2021/7/12
Y1 - 2021/7/12
N2 - The problem of sequentially detecting a change in the correlation structure of multiple Gaussian information sources is considered when it is possible to sample only two of them at each time instance. It is assumed that all sources are initially independent and that at least two of them become positively correlated after the change. The problem is to stop sampling as quickly as possible after the change, while controlling the false alarm rate and without assuming any prior information on the number of sources that become correlated. A joint sampling and change-detection rule is proposed and is shown to achieve the smallest possible worst-case conditional expected detection delay among all processes that satisfy the same constraints, to a first order approximation as the false alarm rate goes to 0, for any possible number of post-change correlated sources.
AB - The problem of sequentially detecting a change in the correlation structure of multiple Gaussian information sources is considered when it is possible to sample only two of them at each time instance. It is assumed that all sources are initially independent and that at least two of them become positively correlated after the change. The problem is to stop sampling as quickly as possible after the change, while controlling the false alarm rate and without assuming any prior information on the number of sources that become correlated. A joint sampling and change-detection rule is proposed and is shown to achieve the smallest possible worst-case conditional expected detection delay among all processes that satisfy the same constraints, to a first order approximation as the false alarm rate goes to 0, for any possible number of post-change correlated sources.
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U2 - 10.1109/ISIT45174.2021.9517736
DO - 10.1109/ISIT45174.2021.9517736
M3 - Conference contribution
AN - SCOPUS:85115066626
T3 - IEEE International Symposium on Information Theory - Proceedings
SP - 605
EP - 610
BT - 2021 IEEE International Symposium on Information Theory, ISIT 2021 - Proceedings
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2021 IEEE International Symposium on Information Theory, ISIT 2021
Y2 - 12 July 2021 through 20 July 2021
ER -