DocumentCode
941425
Title
An algorithm for detecting a change in a stochastic process
Author
Bansal, Rakesh K. ; Kazakos, P. Papantoni
Volume
32
Issue
2
fYear
1986
fDate
3/1/1986 12:00:00 AM
Firstpage
227
Lastpage
235
Abstract
The problem of detecting a change from one given stationary and ergodic stochastic process to another such process is considered. It is assumed that both 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.
Keywords
Stochastic processes; Change detection algorithms; Communication industry; Communication networks; Computer networks; Fault detection; Fault diagnosis; Image edge detection; Sequential analysis; Stochastic processes; Testing;
fLanguage
English
Journal_Title
Information Theory, IEEE Transactions on
Publisher
ieee
ISSN
0018-9448
Type
jour
DOI
10.1109/TIT.1986.1057160
Filename
1057160
Link To Document