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Change-Point Detection in Random Sequence under Minimal Prior Information
The problem of quickest detection of an abrupt change in a mean of random sequence is considered. We suppose that only the following prior information is known: the minimal (in absolute value) size of the possible jump and the interval which contains the mean value before the change. We propose the...
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Published in: | Theory of probability and its applications 2014-01, Vol.58 (3), p.488-493 |
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Main Author: | |
Format: | Article |
Language: | English |
Subjects: | |
Citations: | Items that this one cites |
Online Access: | Get full text |
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Summary: | The problem of quickest detection of an abrupt change in a mean of random sequence is considered. We suppose that only the following prior information is known: the minimal (in absolute value) size of the possible jump and the interval which contains the mean value before the change. We propose the detection algorithm, which is asymptotically optimal under additional conditions. [PUBLICATION ABSTRACT] |
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ISSN: | 0040-585X 1095-7219 |
DOI: | 10.1137/S0040585X97986692 |