Article1991

Quickest detection of a time-varying change in distribution

20 citations0/0 files storedIEEE Transactions on Information Theory

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Advanced Statistical Process Monitoring Radar Systems and Signal Processing Distributed Sensor Networks and Detection Algorithms

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.>

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1954CONTINUOUS INSPECTION SCHEMES 1932Economic Control of Quality of Manufactured Product.1971Procedures for Reacting to a Change in Distribution 1932Economic control of quality of manufactured product 1966Test Procedures for Possible Changes in Parameters of Statistical Distributions Occurring at Unknown Time Points 1986An algorithm for detecting a change in a stochastic process

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2001A simple change detection scheme 2008Structural Change Point Detection Method of Time Series Using Sequential Probability Ratio Test 2013The Design of the Variable Sampling Interval Generalized Likelihood Ratio Chart for Monitoring the Process Mean 1994Quickest detection of an abrupt change in a random sequence with finite change-time

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