Sequential detection of transient changes
Abstract
In many applications, like radar and sonar, industrial monitoring, safety critical surveillance, it is desirable to reliably detect situations where the sequentially observed data X_t contains, in addition to noise, a suddenly arrived at time t_0 signal of short duration L. Moreover, in safety critical applications, an acceptable detection delay is limited by a prescribed value L even if this signal is of long duration. In contrast to the traditional abrupt change detection, where the postchange period is assumed to be infinitely long, the detection at time T of such a short signal (transient change) has to be done before it disappears. Latent detection, i.e. detection which occurs after signal disappearance or with a delay greater than the prescribed value L (i.e. the event {T − t_0 + 1 > L}), is considered as a missed detection in such a case.