TY - GEN
T1 - Sequential detection of transient changes in stochastic systems under a sampling constraint
AU - Ebrahimzadeh, Ehsan
AU - Tchamkerten, Aslan
N1 - Publisher Copyright:
© 2015 IEEE.
PY - 2015/9/28
Y1 - 2015/9/28
N2 - The problem of detecting a transient change in distribution of a discrete time series is investigated when there is a constraint on the number of observed samples. Under a minimax setting where the change time is unknown, the objective is to design a statistical test that minimizes a measure of worst case delay under a constraint on the average time to false alarm as well as a constraint on the sampling rate. Leveraging the results in the non-transient setting, it is shown that under full sampling there exists an asymptotic threshold on the minimum duration of a change that can be detected reliably with such false alarm constrained tests. Next, given a transient change with duration above this asymptotic threshold, the smallest sampling rate for which the change can be detected as efficiently as under full sampling is characterized asymptotically.
AB - The problem of detecting a transient change in distribution of a discrete time series is investigated when there is a constraint on the number of observed samples. Under a minimax setting where the change time is unknown, the objective is to design a statistical test that minimizes a measure of worst case delay under a constraint on the average time to false alarm as well as a constraint on the sampling rate. Leveraging the results in the non-transient setting, it is shown that under full sampling there exists an asymptotic threshold on the minimum duration of a change that can be detected reliably with such false alarm constrained tests. Next, given a transient change with duration above this asymptotic threshold, the smallest sampling rate for which the change can be detected as efficiently as under full sampling is characterized asymptotically.
UR - https://www.scopus.com/pages/publications/84969791891
U2 - 10.1109/ISIT.2015.7282436
DO - 10.1109/ISIT.2015.7282436
M3 - Conference contribution
AN - SCOPUS:84969791891
T3 - IEEE International Symposium on Information Theory - Proceedings
SP - 156
EP - 160
BT - Proceedings - 2015 IEEE International Symposium on Information Theory, ISIT 2015
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - IEEE International Symposium on Information Theory, ISIT 2015
Y2 - 14 June 2015 through 19 June 2015
ER -