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Author Hadjiliadis, O. ♦ Moustakides, G. V.
Source CiteSeerX
Content type Text
File Format PDF
Subject Domain (in DDC) Computer science, information & general works ♦ Data processing & computer science
Subject Keyword Multiple Alternative ♦ Change Point Detection ♦ Brownian Motion Model ♦ Optimal Cusum Rule ♦ Opposite Sign ♦ Extended Lorden Criterion ♦ Absolute Value Drift ♦ Possible Drift ♦ Cusum Rule ♦ Sequential Change Detection ♦ Constant Drift ♦ Brownian Motion ♦ False Alarm ♦ Performance Measure ♦ Specific 2-cusum Rule
Abstract Abstract. This work examines the problem of sequential change detection in the constant drift of a Brownian motion in the case of multiple alternatives. As a performance measure an extended Lorden’s criterion is proposed. When the possible drifts, assumed after the change, have the same sign, the CUSUM rule, designed to detect the smallest in absolute value drift, is proven to be the optimum. If the drifts have opposite signs, then a specific 2-CUSUM rule is shown to be asymptotically optimal as the frequency of false alarms tends to infinity.
Educational Role Student ♦ Teacher
Age Range above 22 year
Educational Use Research
Education Level UG and PG ♦ Career/Technical Study
Learning Resource Type Article
Publisher Date 2006-01-01