Quickest detection of an abrupt change in a random sequence with finite change-time

This paper proposes a new procedure for quickest detection of an abrupt change in a random sequence, where a change is known to occur with probability one. Applications include on-line speech segmentation, edge detection in image processing, and communications channel monitoring. In contrast to Shir...

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Bibliographic Details
Published inIEEE transactions on information theory Vol. 40; no. 6; pp. 1985 - 1993
Main Authors Yong Liu, Blostein, S.D.
Format Journal Article
LanguageEnglish
Published New York, NY IEEE 01.11.1994
Institute of Electrical and Electronics Engineers
The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subjects
Applied sciences
Bayesian methods
Communication channels
Communications
Constraint theory
Delay
Detection, estimation, filtering, equalization, prediction
Exact sciences and technology
Image edge detection
Image processing
Image segmentation
Information technology
Information, signal and communications theory
Monitoring
Random sequences
Signal and communications theory
Signal, noise
Speech processing
Telecommunications and information theory
Random signal
Signal processing
Performance
Edge detection
Signal detection
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Summary:This paper proposes a new procedure for quickest detection of an abrupt change in a random sequence, where a change is known to occur with probability one. Applications include on-line speech segmentation, edge detection in image processing, and communications channel monitoring. In contrast to Shiryayev's (1963) problem formulation, prior knowledge of a change-time distribution is not required. The optimality criterion considered is similar to Shiryayev's, except that the expected delay is to be minimized subject to both overall false alarm probability and false alarm average run length constraints under this criterion, theoretical study shows that the new procedure approximates an optimal but unrealizable Bayesian procedure, particularly for small signal changes or for low probability of false alarm. Simulations confirm that under such conditions, the new procedure compares favorably with Page's (1954) CUSUM, an optimized moving-window fixed-sample-size (FSS) procedure, and a special ease of the Girshick-Rubin-Shiryayev (1952) procedure.< >
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ISSN:0018-9448
1557-9654
DOI:10.1109/18.340471