On the probability of detection of a transient signal

The performance of Page´s (1954) test for the detection of a permanent change in distribution is reasonably well understood. However, there are few parallel results on its application to the detection of a temporary (i.e., transient) change, and this is the paper´s subject. Specifically, a lower bound on detectability is developed using a quantization approach; and a pair of approximations are presented, one based on a Brownian motion analogy, which yields an upper bound in the Gaussian case, and the other again on quantisation. The correspondence between these and simulation appears good in both Gaussian and non-Gaussian cases with heavier tail probability