Accession Number:

ADA134104

Title:

An Algorithm for Detecting a Change in Stochastic Process.

Descriptive Note:

Technical rept.,

Corporate Author:

CONNECTICUT UNIV STORRS DEPT OF ELECTRICAL ENGINEERING AND COMPUTER SCIENCE

Report Date:

1983-06-01

Pagination or Media Count:

24.0

Abstract:

The problem of detecting a change from one given stationary and ergodic stochastic process, to another given such process is considered. It is assumed that both the 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. The test utilizes a reflecting barrier at zero, and positive threshold for deciding the occurrence of the change. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE