Robustness of the N-CUSUM stopping rule in a Wiener disorder problem

DOI10.1214/14-AAP1078zbMATH Open1328.62500arXiv1410.8765MaRDI QIDQ894812FDOQ894812

Authors: Hongzhong Zhang, Neofytos Rodosthenous, Olympia Hadjiliadis 

Publication date: 24 November 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: We study a Wiener disorder problem of detecting the minimum of $N$ change-points in $N$ observation channels coupled by correlated noises. It is assumed that the observations in each dimension can have different strengths and that the change-points may differ from channel to channel. The objective is the quickest detection of the minimum of the $N$ change-points. We adopt a min-max approach and consider an extended Lorden's criterion, which is minimized subject to a constraint on the mean time to the first false alarm. It is seen that, under partial information of the post-change drifts and a general nonsingular stochastic correlation structure in the noises, the minimum of $N$ cumulative sums (CUSUM) stopping rules is asymptotically optimal as the mean time to the first false alarm increases without bound. We further discuss applications of this result with emphasis on its implications to the efficiency of the decentralized versus the centralized systems of observations which arise in engineering.

Full work available at URL: https://arxiv.org/abs/1410.8765

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zbMATH Keywords

CUSUMcorrelated noisequickest detectionWiener disorder problem

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Minimax procedures in statistical decision theory (62C20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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