General asymptotic Bayesian theory of quickest change detection
نویسندگان
چکیده
منابع مشابه
General Asymptotic Bayesian Theory of Quickest Change Detection
The optimal detection procedure for detecting changes in independent and identically distributed (i.i.d.) sequences in a Bayesian setting was derived by Shiryaev in the 1960s. However, the analysis of the performance of this procedure in terms of the average detection delay and false alarm probability has been an open problem. In this paper, we develop a general asymptotic change-point detectio...
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The problem of quickest change detection (QCD) under transient dynamics is studied, where the change from the initial distribution to the final persistent distribution does not happen instantaneously, but after a series of transient phases. The observations within the different phases are generated by different distributions. The objective is to detect the change as quickly as possible, while c...
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In the 1960s, Shiryaev developed a Bayesian theory of change-point detection in the i.i.d. case, which was generalized in the beginning of the 2000s by Tartakovsky and Veeravalli for general stochastic models assuming a certain stability of the log-likelihood ratio process. Hidden Markov models represent a wide class of stochastic processes that are very useful in a variety of applications. In ...
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ژورنال
عنوان ژورنال: Теория вероятностей и ее применения
سال: 2004
ISSN: 0040-361X
DOI: 10.4213/tvp207