An algorithm for detecting a change in a stochastic process

Authors:
R K Bansal;P Papantoni-Kazakos
Affiliations:
-;-
Venue:
IEEE Transactions on Information Theory
Year:
1986

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Abstract

The problem of detecting a change from one given stationary and ergodic stochastic process to another such process is considered. It is assumed that both stochastic processes are processes with memory and that they are mutually independent. A sequential test is proposed and analyzed. It is proved that the proposed test is asymptotically optimal in a mathematically precise sense.