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Sequential detection/isolation of abrupt changes

Abstract : The quickest multidecision change detection/isolation problem is the generalization of the quickest changepoint detection problem to the case of M post-change hypotheses. It is necessary to detect the change in distribution as soon as possible and to indicate which hypothesis is true after a change occurs. Both the rate of false alarms and the misidentification (false isolation) rate should be controlled by given levels. Several detection/isolation procedures that asymptotically minimize the tradeoff between the expected detection delay and the false alarm/false isolation rates in the worst-case scenario are discussed.
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Contributor : Jean-Baptiste VU VAN Connect in order to contact the contributor
Submitted on : Wednesday, November 13, 2019 - 6:09:16 PM
Last modification on : Sunday, June 26, 2022 - 4:37:52 AM




Igor V. Nikiforov. Sequential detection/isolation of abrupt changes. Sequential Analysis, Taylor & Francis, 2016, 35 (3), pp.268-301. ⟨10.1080/07474946.2016.1206354⟩. ⟨hal-02362254⟩



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