Asymptotically Optimal Change Point Detection for Composite Hypothesis in State Space Models

DOI10.1109/TIT.2020.3029096MaRDI QIDQ5151726zbMATH OpenOpenAlexFDO

Authors Cheng-Der Fuh

Publication date 22 February 2021

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1906.03416

zbMATH Keywords

asymptotic approximation for expected stopping timesecond-order asymptotically optimalweighted Shiryayev-Roberts-Pollak (SRP) change point detection rule

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Markov processes: hypothesis testing (62M02)

Abstract: This paper investigates change point detection in state space models, in which the pre-change distribution $f^{het{a}_0}$ is given, while the poster distribution $f^{heta}$ after change is unknown. The problem is to raise an alarm as soon as possible after the distribution changes from $f^{het{a}_0}$ to $f^{heta}$, under a restriction on the false alarms. We investigate theoretical properties of a weighted Shiryayev-Roberts-Pollak (SRP) change point detection rule in state space models. By making use of a Markov chain representation for the likelihood function, exponential embedding of the induced Markovian transition operator, nonlinear Markov renewal theory, and sequential hypothesis testing theory for Markov random walks, we show that the weighted SRP procedure is second-order asymptotically optimal. To this end, we derive an asymptotic approximation for the expected stopping time of such a stopping scheme when the change time $omega=1$. To illustrate our method we apply the results to two types of state space models: general state Markov chains and linear state space models.

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(3)

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• Rényi divergence in hidden Markov models
• Exactly optimal Bayesian quickest change detection for general dependent processes

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