Quickest Change Detection
Venugopal V. Veeravalli and Taposh Banerjee, ECE Department and Coordinated Science Laboratory, Urbana, IL, USA, vvv@illinois.edu, banerje5@illinois.edu
Abstract
The problem of detecting changes in the statistical properties of a stochastic system and time series arises in various branches of science and engineering. It has a wide spectrum of important applications ranging from machine monitoring to biomedical signal processing. In all of these applications the observations being monitored undergo a change in distribution in response to a change or anomaly in the environment, and the goal is to detect the change as quickly as possibly, subject to false alarm constraints. In this chapter, two formulations of ...
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