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Journal Articles IEEE Transactions on Information Theory Year : 1995

A generalized change detection problem

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Abstract

The purpose of this paper is to give a new statistical approach to the change diagnosis (detection/isolation) problem. The change detection problem has received extensive research attention; however, the change isolation problem has, for the most part, been ignored. We consider a stochastic dynamical system with abrupt changes and investigate the multiple hypotheses extension of Lorden's (1971) results. We introduce a joint criterion of optimality for the detection/isolation problem and then design a change detection/isolation algorithm. We also investigate the statistical properties of this algorithm. We prove a lower bound for the criterion in a class of sequential change detection/isolation algorithms. It is shown that the proposed algorithm is asymptotically optimal in this class. The theoretical results are applied to the case of additive changes in linear stochastic models.
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hal-02881347 , version 1 (25-06-2020)

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Igor V. Nikiforov. A generalized change detection problem. IEEE Transactions on Information Theory, 1995, 41 (1), pp.171-187. ⟨10.1109/18.370109⟩. ⟨hal-02881347⟩
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