Asymptotically Optimum Sample Size for Quickest Detection
- 1 March 1987
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Aerospace and Electronic Systems
- Vol. AES-23 (2) , 263-272
- https://doi.org/10.1109/taes.1987.313381
Abstract
A method is presented for selecting the asymptotically optimum sample size M for detecting a sudden change in the statistics of an observed process. The test statistic is assumed to be a sum of M consecutive values of some single sample detector and the optimization criterion is to minimize the mean time to detection MD for a given mean time between false alarms MF. It is shown that for large MF and MD the solution can be expressed as a function of the single variable √MFß (or alternatively √MDß) where ß is a measure of the signal-to-noise ratio (SNR).Keywords
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