A method is presented for selecting the asymptotically optimum sample size M for detecting a sudden change in the statistics of an observed process. The test statistic is assumed to be a sum of M consecutive values of some single sample detector and the optimization criterion is to minimize the mean time to detection MD for a given mean time between false alarms MF. It is shown that for large MF and MD the solution can be expressed as a function of the single variable √MFß (or alternatively √MDß) where ß is a measure of the signal-to-noise ratio (SNR).
Asymptotically Optimum Sample Size for Quickest Detection
IEEE Transactions on Aerospace and Electronic Systems ; AES-23 , 2 ; 263-272
1987-03-01
2025534 byte
Article (Journal)
Electronic Resource
English
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