TY - GEN
T1 - Sequentially detecting transitory changes
AU - Moustakides, George V.
AU - Veeravalli, Venugopal V.
N1 - Publisher Copyright:
© 2016 IEEE.
PY - 2016/8/10
Y1 - 2016/8/10
N2 - 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.
AB - 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.
KW - Quickest detection
KW - Sequential Analysis
KW - Sequential detection of changes
UR - http://www.scopus.com/inward/record.url?scp=84985918294&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84985918294&partnerID=8YFLogxK
U2 - 10.1109/ISIT.2016.7541254
DO - 10.1109/ISIT.2016.7541254
M3 - Conference contribution
AN - SCOPUS:84985918294
T3 - IEEE International Symposium on Information Theory - Proceedings
SP - 26
EP - 30
BT - Proceedings - ISIT 2016; 2016 IEEE International Symposium on Information Theory
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2016 IEEE International Symposium on Information Theory, ISIT 2016
Y2 - 10 July 2016 through 15 July 2016
ER -