On robust stopping times for detecting changes in distribution

arXiv1804.09014MaRDI QIDQ6300740FDOQ6300740

Authors: Yu. Golubev, Mher M. Safarian 

Publication date: 24 April 2018

Abstract: Let $X_1,X_2,ldots$ be independent random variables observed sequentially and such that $X_1,ldots,X_{heta-1}$ have a common probability density $p_0$, while $X_{h}eta,X_{heta+1},ldots$ are all distributed according to $p_{1}eq{p}_0$. It is assumed that $p_0$ and $p_1$ are known, but the time change $hetainmathbb{Z}^{+}$ is unknown and the goal is to construct a stopping time $au$ that detects the change-point $heta$ as soon as possible. The existing approaches to this problem rely essentially on some a priori information about $heta$. For instance, in Bayes approaches, it is assumed that $heta$ is a random variable with a known probability distribution. In methods related to hypothesis testing, this a priori information is hidden in the so-called average run length. The main goal in this paper is to construct stopping times which do not make use of a priori information about $heta$, but have nearly Bayesian detection delays. More precisely, we propose stopping times solving approximately the following problem: �egin{equation*} �egin{split} &quad Delta( heta; au^alpha) ightarrowmin_{ au^alpha}quad extbf{subject to}quad alpha( heta; au^alpha)le alpha extbf{ for any} hetage1, end{split} end{equation*} where $$ is extit{the false alarm probability} and $Delta(heta;au)=mathbf{E}_{h}eta(au-heta{)}_{+}$ is extit{the average detection delay}, %In this paper, we construct $widetilde{au}^{a}lpha$ such that %[ % max_{ hetage 1}alpha( heta;widetilde{ au}^alpha)le alpha ext{and} %Delta( heta;widetilde{ au}^alpha)le (1+o(1))log( heta/alpha), ext{as} heta/alpha% ightarrowinfty, %] and explain why such stopping times are robust w.r.t. a priori information about $heta$.

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