Title :
Quickest detection of abrupt changes for a class of random processes
Author :
Moustakides, George V.
Author_Institution :
Dept. of Comput. Eng. & Inf., Patras Univ., Greece
fDate :
9/1/1998 12:00:00 AM
Abstract :
We consider the problem of quickest detection of abrupt changes for processes that are not necessarily independent and identically distributed (i.i.d.) before and after the change. By making a very simple observation that applies to most well-known optimum stopping times developed for this problem (in particular CUSUM and Shiryayev-Roberts (1963) stopping rule) we show that their optimality can be easily extended to more general processes than the usual i.i.d. case
Keywords :
Markov processes; autoregressive processes; random processes; signal detection; AR process; CUSUM; Markov chains; Shiryayev-Roberts stopping rule; abrupt changes detection; i.i.d. process; optimality; optimum stopping times; quickest detection; random processes; Biomedical monitoring; Costs; Data models; Filtration; Mathematical analysis; Probability; Quality control; Random processes; Random variables; Vibration control;
Journal_Title :
Information Theory, IEEE Transactions on
