Quickest detection of abrupt changes for a class of random processes

DOI10.1109/18.705575MaRDI QIDQ4701171zbMATH OpenOpenAlexFDO

Authors George V. Moustakides

Publication date 21 November 1999

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

Full work available at URL https://doi.org/10.1109/18.705575

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Cited in

(8)

• Optimality of the CUSUM procedure in continuous time.
• Security and trust for wireless autonomic networks. Systems and control methods
• Optimality of Non-Restarting CUSUM Charts
• Optimal detection of transition probability change in random sequence
• A mathematical framework for new fault detection schemes in nonlinear stochastic continuous-time dynamical systems
• Comparative performance analysis of the cumulative sum chart and the Shiryaev-Roberts procedure for detecting changes in autocorrelated data
• On the ARL of CUSUM in multinomial models
• Exactly optimal Bayesian quickest change detection for general dependent processes

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