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Zbl 0955.62084
Lai, Tze Leung
Information bounds and quick detection of parameter changes in stochastic systems. (English)
[J] IEEE Trans. Inf. Theory 44, No.7, 2917-2929 (1998). ISSN 0018-9448

Summary: By using information-theoretic bounds and sequential hypothesis testing theory, this paper provides a new approach to optimal detection of abrupt changes in stochastic systems. This approach not only generalizes previous work in the literature on optimal detection far beyond the relatively simple models treated but also suggests alternative performance criteria which are more tractable and more appropriate for general stochastic systems. In addition, it leads to detection rules which have manageable computational complexity for on-line implementation and yet are nearly optimal under the different performance criteria considered.

MSC 2000:: *62L10 Sequential statistical analysis
62B10 Statistical information theory

Keywords: generalized likelihood ratio detectors; composite moving average schemes; Kullback-Leibler information; sequential detection

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