Adaptive quickest change detection with unknown parameter

Quickest detection of an abrupt distribution change with an unknown time varying parameter is considered. A novel adaptive approach is proposed to tackle this problem, which is shown to outperform the celebrated Parallel CUSUM Test. Performance is evaluated through theoretical analysis and numerical simulations.

• Type: Conference
• Year: 2009
• Where: ICASSP
• Authors: Chengzhi Li, Huaiyu Dai, Husheng Li
• Keywords: Abrupt Distribution Change, Celebrated Parallel Cusum, ICASSP 2009, Signal Processing, Time Varying Parameter