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Problemy Peredachi Informatsii, 1992, Volume 28, Issue 4, Pages 49–59
(Mi ppi1367)
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Methods of Signal Processing
Efficiency of the Generalized Neyman–Pearson Test for Detecting Changes in a Multichannel System
A. G. Tartakovskii
Abstract:
We propose a multialternative, multistage rule for detection of changes. The rule consists of fixed-length stages and it stops when the maximum likelihood statistic crosses the threshold for the first time. Parameter optimization and analysis of the rule are conducted for change detection in the mean of the Wiener process in a multichannel system. In the worst case, the proposed rule is inferior by a factor of two to the asymptotically minimax multialternative sequential rule with the mean time to false alarm tending to infinity. The results remain valid also in the general (non-Gaussian) case if we additionally require convergence of the hypotheses.
Received: 31.05.1991
Citation:
A. G. Tartakovskii, “Efficiency of the Generalized Neyman–Pearson Test for Detecting Changes in a Multichannel System”, Probl. Peredachi Inf., 28:4 (1992), 49–59; Problems Inform. Transmission, 28:4 (1992), 341–350
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https://www.mathnet.ru/eng/ppi1367 https://www.mathnet.ru/eng/ppi/v28/i4/p49
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