Quickest detection of a time-varying change in distribution

Author

Blostein, Steven D.

Author_Institution

Dept. of Electr. Eng., Queen´´s Univ., Kingston, Ont., Canada

Volume

37

Issue

4

fYear

1991

fDate

7/1/1991 12:00:00 AM

Firstpage

1116

Lastpage

1122

Abstract

A practical algorithm for quickest detection of time-varying arbitrary one-parameter changes in a sequence of independent random variables is developed. The amplitude of the parameter need not to be known. This model can be applied to the problem of coherent detection of sampled sinusoidal signals of known frequency, but unknown phase and amplitude. The tests are designed according to a maximum allowable false alarm rate. Expressions that predict algorithm performance, in terms of average detection time are obtained. Simulation results show the scheme has improved performance over E.S. Page´s (1954) quickest-detection procedure in the detection of sampled sinusoids of known frequency (and unknown amplitude and phase) in white Gaussian noise

Keywords

signal detection; time-varying systems; arbitrary one-parameter changes; average detection time; coherent detection; false alarm rate; independent random variables; quickest detection; sampled sinusoidal signals; signal detection; time-varying change in distribution; white Gaussian noise; Gaussian noise; Image edge detection; Phase detection; Phase frequency detector; Radar detection; Random variables; Sequential analysis; Signal detection; Stochastic processes; Testing;

fLanguage

English

Journal_Title

Information Theory, IEEE Transactions on

Publisher

ieee

ISSN

0018-9448

Type

jour

DOI

10.1109/18.87003

Filename

87003