An Algorithm for Detecting a Change in Stochastic Process.
CONNECTICUT UNIV STORRS DEPT OF ELECTRICAL ENGINEERING AND COMPUTER SCIENCE
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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
- Statistics and Probability