Performance of CUSUM tests for detecting changes in continuous time processes

Research output: Contribution to journalConference articlepeer-review

5 Scopus citations

Abstract

We present a general methodology, for computing the worst mean detection delay of the CUSUM test for detecting changes in continuous time processes. The proposed method is applied to the problem of detecting changes in the constant drift of a Brownian motion and in the rate of a homogeneous Poisson process. Closed form expressions obtained for the latter case are completely novel.

Original languageEnglish (US)
Pages (from-to)186
Number of pages1
JournalIEEE International Symposium on Information Theory - Proceedings
StatePublished - 2002
Externally publishedYes
Event2002 IEEE International Symposium on Information Theory - Lausanne, Switzerland
Duration: Jun 30 2002Jul 5 2002

All Science Journal Classification (ASJC) codes

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

Fingerprint Dive into the research topics of 'Performance of CUSUM tests for detecting changes in continuous time processes'. Together they form a unique fingerprint.

Cite this