Authors
Title
Detecting a Suddenly Arriving Dynamic Profile of Finite Duration
In
IEEE TRANSACTIONS ON INFORMATION THEORY
Volume
63
Issue
5
Pages
3039 – 3052
Publisher
IEEE
Year
2017
Indexed by

Abstract
This paper addresses the detection of a suddenly
arriving dynamic profile of a finite duration often called a
transient change. In contrast to the traditional abrupt change
detection, where the post-change period is assumed to be infinitely
long, the detection of a suddenly arriving transient change should
be done before it disappears. The detection of transient changes
after their disappearance is considered as missed. Hence, the
traditional quickest change detection criterion, minimizing the
average detection delays provided a prescribed false alarm rate,
is compromised. The proposed optimality criterion minimizes
the worst case probability of missed detection provided that the
worst case probability of false alarm during a certain period
is upper bounded. A suboptimal CUSUM-type transient change
detection algorithm, based on a subclass of truncated Sequential
Probability Ratio Tests, is proposed. The optimization of the
proposed algorithm in this subclass leads to a specially designed
Finite Moving Average Test. The proposed method is analyzed
theoretically and by simulation. A special attention is paid to the
case of Gaussian observations with a dynamic profile.
Affiliations
Offprint