Quickest detection of a time-varying change in distribution

A practical algorithm for quickest detection of time-varying arbitrary one-parameter changes in a sequence of independent random variables is developed. The amplitude of the parameter need not to be known. This model can be applied to the problem of coherent detection of sampled sinusoidal signals o...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	IEEE transactions on information theory 1991-07, Vol.37 (4), p.1116-1122
1. Verfasser:	Blostein, S.D.
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Exact sciences and technology Gaussian noise Image edge detection Information, signal and communications theory Phase detection Phase frequency detector Radar detection Random variables Sequential analysis Signal detection Stochastic processes Telecommunications and information theory Testing
Online-Zugang:	Volltext bestellen
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Beschreibung
Zusammenfassung:	A practical algorithm for quickest detection of time-varying arbitrary one-parameter changes in a sequence of independent random variables is developed. The amplitude of the parameter need not to be known. This model can be applied to the problem of coherent detection of sampled sinusoidal signals of known frequency, but unknown phase and amplitude. The tests are designed according to a maximum allowable false alarm rate. Expressions that predict algorithm performance, in terms of average detection time are obtained. Simulation results show the scheme has improved performance over E.S. Page's (1954) quickest-detection procedure in the detection of sampled sinusoids of known frequency (and unknown amplitude and phase) in white Gaussian noise.< >
ISSN:	0018-9448 1557-9654
DOI:	10.1109/18.87003