A new algorithm for nonparametric sequential detection

We consider nonparametric sequential hypothesis testing problem when the distribution under the null hypothesis is fully known but the alternate hypothesis corresponds to a general family of distributions. We propose a simple algorithm to address the problem. Its performance is analysed and asymptotic properties are proved. The simulated and analysed performance of the algorithm is compared with an earlier algorithm addressing the same problem with similar assumptions. Finally, we provide a justification for our model motivated by a Cognitive Radio scenario and modify the algorithm for optimizing performance when information about the prior probabilities of occurrence of the two hypotheses is available.