A numerical approach to performance analysis of quickest change-point detection procedures
نویسندگان
چکیده
منابع مشابه
A Numerical Approach to Performance Analysis of Quickest Change-point Detection Procedures
For the most popular sequential change detection rules such as CUSUM, EWMA and the Shiryaev-Roberts test, we develop integral equations and a concise numerical method to compute a number of performance metrics including average detection delay and average time to false alarm. We pay special attention to the Shiryaev-Roberts procedure and evaluate its performance for various initialization strat...
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The problem of quickest detection of a change in distribution is considered under the assumption that the pre-change distribution is known, and the post-change distribution is only known to belong to a family of distributions distinguishable from a discretized version of the pre-change distribution. A sequential change detection procedure is proposed that partitions the sample space into a fini...
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15 صفحه اولMultidecision Quickest Change-Point Detection: Previous Achievements and Open Problems
The following multidecision quickest detection problem, which is of importance for a variety of applications, is considered. There are N populations that are either statistically identical or where the change occurs in one of them at an unknown point in time. Alternatively, there may be N “isolated” points/hypotheses associated with a change. It is necessary to detect the change in distribution...
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A decentralized formulation of the quickest change detection problem is studied, where the distributions of the observations at all of the sensors in the system change at the time of disruption, and the sensors communicate with a common fusion center. A Bayesian setting is considered in which a priori knowledge of the change time distribution is available. The observations are assumed to be ind...
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ژورنال
عنوان ژورنال: Statistica Sinica
سال: 2011
ISSN: 1017-0405
DOI: 10.5705/ss.2011.026a