Title :
An algorithm for detecting a change in a stochastic process
Author :
Bansal, Rakesh K. ; Kazakos, P. Papantoni
fDate :
3/1/1986 12:00:00 AM
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;
Journal_Title :
Information Theory, IEEE Transactions on
DOI :
10.1109/TIT.1986.1057160
