QUICKEST DETECTION OF ABRUPT CHANGES FOR A CLASS OF RANDOM-PROCESSES

Authors
MOUSTAKIDES GV
Citation
Gv. Moustakides, QUICKEST DETECTION OF ABRUPT CHANGES FOR A CLASS OF RANDOM-PROCESSES, IEEE transactions on information theory, 44(5), 1998, pp. 1965-1968
Citations number
14
Categorie Soggetti
Computer Science Information Systems","Engineering, Eletrical & Electronic","Computer Science Information Systems
Journal title
IEEE transactions on information theory → ACNP
ISSN journal
00189448
Volume
44
Issue
5
Year of publication
1998
Pages
1965 - 1968
Database
ISI
SICI code
0018-9448(1998)44:5<1965:QDOACF>2.0.ZU;2-A
Abstract
We consider the problem of quickest detection of abrupt changes for pr ocesses that are not necessarily independent and identically distribut ed (i.i.d.) before and after the change. By making a very simple obser vation that applies to most well-known optimum stopping times develope d for this problem (in particular CUSUM and Shiryayev-Roberts stopping rule) we show that their optimality can be easily extended to more ge neral processes than the usual i.i.d. case.