An algorithm for detecting a change in a stochastic process
IEEE Transactions on Information Theory
Traffic management in broadband integrated services digital networks
Traffic management in broadband integrated services digital networks
Extended sequential algorithms for detecting changes in acting stochastic processes
IEEE Transactions on Systems, Man, and Cybernetics, Part A: Systems and Humans
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We consider the case where data sequences may be generated by either one of a number of non-parametrically defined processes and where the data generating process may change at any point in time. The objective is to effectively track the latter changes, where each acting process is essentially represented by a whole class of parametrically defined processes. We present, analyze and evaluate robust sequential algorithms which attain the objective for a variety of scenarios. Our robust algorithms consist of appropriate modifications of previously presented parametric sequential algorithms, to mainly resist the occurrence of occasional data outliers in terms of dramatic performance deterioration.