Title :
Performance of CUSUM tests for detecting changes in continuous time processes
Author :
Moustakides, George V.
Author_Institution :
INRIA, Rennes, France
Abstract :
We present a general methodology, for computing the worst mean detection delay of the CUSUM test for detecting changes in continuous time processes. The proposed method is applied to the problem of detecting changes in the constant drift of a Brownian motion and in the rate of a homogeneous Poisson process. Closed form expressions obtained for the latter case are completely novel.
Keywords :
Brownian motion; continuous time systems; delays; signal detection; statistical analysis; stochastic processes; Brownian motion; CUSUM tests; change detection; closed form expressions; continuous time processes; cumulative sum; homogeneous Poisson process rate; random process; statistics; worst mean detection delay; Delay effects; Delay estimation; Differential equations; Gratings; Motion detection; Nonlinear equations; Probability; Random processes; Statistics; Testing;
Conference_Titel :
Information Theory, 2002. Proceedings. 2002 IEEE International Symposium on
Print_ISBN :
0-7803-7501-7
DOI :
10.1109/ISIT.2002.1023458
