Superimposed HMM transient detection via target tracking ideas

The quickest detection of superimposed hidden Markov model (HMM) transient signals is addressed. It is assumed that a known HMM is always extant but at an unknown time a second known HMM may also be present, and overlapped with the previous. Two approaches are proposed. The first treats the superimposed HMMs as a unit with an expanded state space, thus converting the problem of detecting superimposed HMMs into detection of a change in HMM, this being readily solved using a previously proposed procedure. Such an approach, though excellent in terms of performance, is not suitable for the superposition of multiple HMMs with large state dimensions due to computational complexity. A second detection scheme (based on multiple target tracking ideas) with much lower computational needs but little loss in terms of performance, is therefore developed