Nearly minimax changepoint detection procedures

Alexander G. Tartakovsky*, Moshe Pollak

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

2 Scopus citations

Abstract

We design a quickest change detection procedure that is almost minimax in the sense of minimizing the maximal (over change points) expected delay to detection for a given low false alarm rate. This procedure represents a variation of the Shiryaev-Roberts procedure that starts off at a fixed specially designed point.

Original languageEnglish
Title of host publication2011 IEEE International Symposium on Information Theory Proceedings, ISIT 2011
Pages2676-2680
Number of pages5
DOIs
StatePublished - 2011
Event2011 IEEE International Symposium on Information Theory Proceedings, ISIT 2011 - St. Petersburg, Russian Federation
Duration: 31 Jul 20115 Aug 2011

Publication series

NameIEEE International Symposium on Information Theory - Proceedings
ISSN (Print)2157-8104

Conference

Conference2011 IEEE International Symposium on Information Theory Proceedings, ISIT 2011
Country/TerritoryRussian Federation
CitySt. Petersburg
Period31/07/115/08/11

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