An Algorithm for Detecting a Change in Stochastic Process.

Abstract

The problem of detecting a change from one given stationary and ergodic stochastic process, to another given such process is considered. It is assumed that both the stochastic processes are processes with memory, and that they are mutually independent. A sequential test is proposed and analyzed. It is proved that the proposed test is asymptotically optimal, in a mathematically precise sense. The test utilizes a reflecting barrier at zero, and positive threshold for deciding the occurrence of the change. (Author)

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1983
Accession Number
ADA134104

Entities

People

  • P. Papantoni-kazakos
  • Rakesh Kumar Bansal

Organizations

  • University of Connecticut

Tags

DTIC Thesaurus Topics

  • Algorithms
  • Computer Science
  • Connecticut
  • Data Science
  • Detection
  • Electrical Engineering
  • Engineering
  • Ergodic Processes
  • Information Science
  • Observation
  • Probability
  • Random Variables
  • Sequences
  • Stationary
  • Stationary Processes
  • Stochastic Processes
  • Universities

Fields of Study

  • Mathematics

Readers

  • Mathematical Modeling and Probability Theory.