H. Schoonewelle et al., THEORETICAL AND NUMERICAL INVESTIGATIONS INTO THE SPRT METHOD FOR ANOMALY DETECTION, Annals of nuclear energy, 22(11), 1995, pp. 731-742
The sequential probability ratio test developed by Wald is a powerful
method of testing an alternative hypothesis against a null hypothesis.
This makes the method applicable for anomaly detection. In this paper
the method is used to detect a change of the standard deviation of a
Gaussian distributed white noise signal. The false alarm probability,
the alarm failure probability and the average time to alarm of the met
hod, which are important parameters for anomaly detection, are determi
ned by simulation acid compared with theoretical results. Each of the
three parameters is presented in dependence of the other two and the r
atio of the standard deviation of the anomalous signal and that of the
normal signal. Results show that the method is very well suited for a
nomaly detection. It can detect for example a 50 % change in standard
deviation within 1 second with a false alarm and alarm failure rate of
less than once per month.