Quickest detection of a time-varying change in distribution

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 o...

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Bibliographic Details
Published in:IEEE transactions on information theory 1991-07, Vol.37 (4), p.1116-1122
Main Author: Blostein, S.D.
Format: Article
Language:English
Subjects:
Applied sciences
Exact sciences and technology
Gaussian noise
Image edge detection
Information, signal and communications theory
Phase detection
Phase frequency detector
Radar detection
Random variables
Sequential analysis
Signal detection
Stochastic processes
Telecommunications and information theory
Testing
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Summary: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.< >
ISSN:0018-9448
1557-9654
DOI:10.1109/18.87003