Sequential detection/isolation of abrupt changes. Issue 3 (2nd July 2016)

• Record Type: Journal Article
• Authors: Nikiforov, Igor V.
• Is Part Of: Sequential analysis. Volume 35:Issue 3(2016)
• Page Start: 268
• Page End: 301
• Publication Date: 2016-07-02
• Subjects: Asymptotic optimality -- average detection delay -- average run length to a false alarm -- average run length to a false isolation -- changepoint detection/isolation -- false alarm rate -- false isolation rate; 62L10 -- 62L15 -- 60G40 -- 62F05 -- 62P30; Sequential analysis -- Periodicals; 519.54
• DOI: 10.1080/07474946.2016.1206354
• Languages: English
• ISSNs: 0747-4946

Abstract

ABSTRACT: The quickest multidecision change detection/isolation problem is the generalization of the quickest changepoint detection problem to the case of M post-change hypotheses. It is necessary to detect the change in distribution as soon as possible and to indicate which hypothesis is true after a change occurs. Both the rate of false alarms and the misidentification (false isolation) rate should be controlled by given levels. Several detection/isolation procedures that asymptotically minimize the tradeoff between the expected detection delay and the false alarm/false isolation rates in the worst-case scenario are discussed.