Optimality of the sequential probability ratio test for nonstationary observations
- 1 January 1992
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Information Theory
- Vol. 38 (1) , 177-182
- https://doi.org/10.1109/18.108268
Abstract
Bayesian analysis is used to show that Wald's sequential probability ratio test with varying thresholds is optimal for the nonstationary situation, where the observed samples are independent but not identically distributed. Some important properties useful for the design of the test thresholds are discussed. Wald's lower bound, generalized to the nonstationary situation, is also presented. The results have important applications in situations where the observed signal is time-varying. such as in radar signal processing, image processing, and spread spectrum communicationsKeywords
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