Optimality of the sequential probability ratio test for nonstationary observations

Author

Liu, Yong ; Blostein, Steven D.

Author_Institution

Dept. of Electr. Eng., Queen´´s Univ., Kingston, Ont., Canada

Volume

38

Issue

1

fYear

1992

fDate

1/1/1992 12:00:00 AM

Firstpage

177

Lastpage

182

Abstract

Bayesian analysis is used to show that Wald´s sequential probability ratio test with varying thresholds is optimal for the nonstationary situation, where the observed samples are independent but not identically distributed. Some important properties useful for the design of the test thresholds are discussed. Wald´s lower bound, generalized to the nonstationary situation, is also presented. The results have important applications in situations where the observed signal is time-varying. such as in radar signal processing, image processing, and spread spectrum communications

Keywords

Bayes methods; information theory; probability; signal detection; signal processing; Bayesian analysis; Wald´s lower bound; hypothesis testing; image processing; nonstationary observations; optimality; radar signal processing; sequential probability ratio test; signal detection; spread spectrum communications; test thresholds; time varying signals; Bayesian methods; Error probability; Image processing; Radar signal processing; Sequential analysis; Signal analysis; Signal processing; Spread spectrum radar; Testing; Transient analysis;

fLanguage

English

Journal_Title

Information Theory, IEEE Transactions on

Publisher

ieee

ISSN

0018-9448

Type

jour

DOI

10.1109/18.108268

Filename

108268