Title :
Nearly minimax changepoint detection procedures
Author :
Tartakovsky, Alexander G. ; Pollak, Moshe
Author_Institution :
Dept. of Math., Univ. of Southern California, Los Angeles, CA, USA
fDate :
July 31 2011-Aug. 5 2011
Abstract :
We design a quickest change detection procedure that is almost minimax in the sense of minimizing the maximal (over change points) expected delay to detection for a given low false alarm rate. This procedure represents a variation of the Shiryaev-Roberts procedure that starts off at a fixed specially designed point.
Keywords :
delays; minimax techniques; statistical analysis; Shiryaev-Roberts procedure; delay; false alarm rate; minimax changepoint detection; Approximation methods; Delay; Educational institutions; Equalizers; Limiting; Strontium;
Conference_Titel :
Information Theory Proceedings (ISIT), 2011 IEEE International Symposium on
Conference_Location :
St. Petersburg
Print_ISBN :
978-1-4577-0596-0
Electronic_ISBN :
2157-8095
DOI :
10.1109/ISIT.2011.6034057
