Quickest detection of abrupt changes for a class of random processes

被引：27

作者：

Moustakides, GV ^{[1
]}

机构：

[1] Univ Patras, Dept Comp Engn & Informat, Patras 26900, Greece

来源：

IEEE TRANSACTIONS ON INFORMATION THEORY | 1998年 / 44卷 / 05期

关键词：

CUSUM; disruption problem; optimal stopping; quickest detection;

D O I：

10.1109/18.705575

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 [计算机科学与技术];

摘要：

We consider the problem of quickest detection of abrupt changes for processes that are not necessarily independent and identically distributed (i.i.d.) before and after the change. By making a very simple observation that applies to most well-known optimum stopping times developed for this problem (in particular CUSUM and Shiryayev-Roberts stopping rule) we show that their optimality can be easily extended to more general processes than the usual i.i.d. case.

引用

页码：1965 / 1968

页数：4

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