Sequential joint detection and estimation
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Publication:2944446
DOI10.1137/S0040585X97T987235zbMATH Open1342.62137arXiv1302.6058OpenAlexW2964301762MaRDI QIDQ2944446FDOQ2944446
Authors: Yasin Yilmaz, George V. Moustakides, Xiaodong Wang 
Publication date: 2 September 2015
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Abstract: We consider the problem of simultaneous detection and estimation under a sequential framework. In particular we are interested in sequential tests that distinguish between the null and the alternative hypothesis and every time the decision is in favor of the alternative they provide an estimate of a random parameter. As we demonstrate with our analysis treating the two subproblems separately with the corresponding optimal strategies does not result in the best possible performance. To enjoy optimality one needs to take into account the optimum estimator during the hypothesis testing phase.
Full work available at URL: https://arxiv.org/abs/1302.6058
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Cited In (10)
- Sequential detection of targets in multichannel systems
- Minimax optimal sequential hypothesis tests for Markov processes
- Joint filtering of components of random sequences
- Bayesian sequential joint detection and estimation
- Joint statistical signal detection and estimation. I: Theoretical aspects of the problem.
- Bayesian sequential joint detection and estimation under multiple hypotheses
- Joint detection and estimation of the Yule-Furry processes
- Optimal simultaneous detection and estimation under a false alarm constraint
- Sequential method of detecting signals of random shape with simultaneous estimation of parameters
- Joint statistical signal detection and estimation. II: A high-performance closed-loop technique.
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