Detecting Changes in Hidden Markov Models

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Scopus citations

Abstract

We consider the problem of sequential detection of a change in the statistical behavior of a hidden Markov model. By adopting a worst-case analysis with respect to the time of change and by taking into account the data that can be accessed by the change-imposing mechanism we offer alternative formulations of the problem. For each formulation we derive the optimum Shewhart test that maximizes the worst-case detection probability while guaranteeing infrequent false alarms.

Original languageEnglish (US)
Title of host publication2019 IEEE International Symposium on Information Theory, ISIT 2019 - Proceedings
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages2394-2398
Number of pages5
ISBN (Electronic)9781538692912
DOIs
StatePublished - Jul 2019
Event2019 IEEE International Symposium on Information Theory, ISIT 2019 - Paris, France
Duration: Jul 7 2019Jul 12 2019

Publication series

NameIEEE International Symposium on Information Theory - Proceedings
Volume2019-July
ISSN (Print)2157-8095

Conference

Conference2019 IEEE International Symposium on Information Theory, ISIT 2019
Country/TerritoryFrance
CityParis
Period7/7/197/12/19

All Science Journal Classification (ASJC) codes

  • Theoretical Computer Science
  • Information Systems
  • Modeling and Simulation
  • Applied Mathematics

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