Modeling and quickest detection of a rapidly approaching object

DOI10.1080/07474946.2023.2247020MaRDI QIDQ6185928zbMATH OpenOpenAlexFDO

Authors Taposh Banerjee, R. K. Mishra

Publication date 9 January 2024

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2303.02324

zbMATH Keywords

minimax optimalitymonotone likelihood rationonstationary processesquickest change detectionstochastic dominance

Mathematics Subject Classification ID

Sequential statistical methods (62Lxx)

Abstract: The problem of detecting the presence of a signal that can lead to a disaster is studied. A decision-maker collects data sequentially over time. At some point in time, called the change point, the distribution of data changes. This change in distribution could be due to an event or a sudden arrival of an enemy object. If not detected quickly, this change has the potential to cause a major disaster. In space and military applications, the values of the measurements can stochastically grow with time as the enemy object moves closer to the target. A new class of stochastic processes, called exploding processes, is introduced to model stochastically growing data. An algorithm is proposed and shown to be asymptotically optimal as the mean time to a false alarm goes to infinity.

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Cited in

(1)

• Robust quickest change detection in nonstationary processes

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