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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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Bibliographic Details
Published in:Theory of probability and its applications 2014-01, Vol.58 (3), p.488-493
Main Author: Darkhovsky, B S
Format: Article
Language:English
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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]
ISSN:0040-585X
1095-7219
DOI:10.1137/S0040585X97986692