Sequentially detecting transitory changes

George V. Moustakides, Venugopal V. Veeravalli

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


We are interested in the sequential detection of a change in the statistical behavior of a random process. Specifically we consider changes that are not abrupt but exhibit a transitory phase before reaching their steady-state behavior. Adopting the classical worst-case conditional detection delay proposed by Lorden as our performance measure and constraining the average false-alarm period, we derive the sequential test that optimizes, in the exact sense, the proposed criterion. The resulting optimum rule resembles the well known CUSUM rule with the corresponding test-statistic-update being not only a function of all pre- and post-change pdfs but also of the false-alarm constraint.

Original languageEnglish (US)
Title of host publicationProceedings - ISIT 2016; 2016 IEEE International Symposium on Information Theory
PublisherInstitute of Electrical and Electronics Engineers Inc.
Number of pages5
ISBN (Electronic)9781509018062
StatePublished - Aug 10 2016
Event2016 IEEE International Symposium on Information Theory, ISIT 2016 - Barcelona, Spain
Duration: Jul 10 2016Jul 15 2016

Publication series

NameIEEE International Symposium on Information Theory - Proceedings
ISSN (Print)2157-8095


Other2016 IEEE International Symposium on Information Theory, ISIT 2016


  • Quickest detection
  • Sequential Analysis
  • Sequential detection of changes

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Information Systems
  • Modeling and Simulation
  • Applied Mathematics


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