An algorithm for detecting a change in a stochastic process
- 1 March 1986
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Information Theory
- Vol. 32 (2) , 227-235
- https://doi.org/10.1109/tit.1986.1057160
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.Keywords
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