Quickest change detection in the presence of a nuisance change
In the quickest change detection problem in which both nuisance and critical changes may occur, the objective is to detect the critical change as quickly as possible without raising an alarm when either there is no change or a nuisance change has occurred. A window-limited sequential change detectio...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2021
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/146209 |
| _version_ | 1826112314327171072 |
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| author | Lau, Tze Siong Tay, Wee Peng |
| author2 | School of Electrical and Electronic Engineering |
| author_facet | School of Electrical and Electronic Engineering Lau, Tze Siong Tay, Wee Peng |
| author_sort | Lau, Tze Siong |
| collection | NTU |
| description | In the quickest change detection problem in which both nuisance and critical changes may occur, the objective is to detect the critical change as quickly as possible without raising an alarm when either there is no change or a nuisance change has occurred. A window-limited sequential change detection procedure based on the generalized likelihood ratio test statistic is proposed. A recursive update scheme for the proposed test statistic is developed and is shown to be asymptotically optimal under mild technical conditions. In the scenario where the post-change distribution belongs to a parametrized family, a generalized stopping time and a lower bound on its average run length are derived. The proposed stopping rule is compared with the finite moving average (FMA) stopping time and the naive 2-stage procedure that detects the nuisance or critical change using separate CuSum stopping procedures for the nuisance and critical changes. Simulations demonstrate that the proposed rule outperforms the FMA stopping time and the 2-stage procedure, and experiments on a real dataset on bearing failure verify the performance of the proposed stopping time. |
| first_indexed | 2024-10-01T03:04:58Z |
| format | Journal Article |
| id | ntu-10356/146209 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T03:04:58Z |
| publishDate | 2021 |
| record_format | dspace |
| spelling | ntu-10356/1462092021-02-02T05:42:46Z Quickest change detection in the presence of a nuisance change Lau, Tze Siong Tay, Wee Peng School of Electrical and Electronic Engineering Science::Mathematics::Statistics Quickest Change Detection Nuisance Change In the quickest change detection problem in which both nuisance and critical changes may occur, the objective is to detect the critical change as quickly as possible without raising an alarm when either there is no change or a nuisance change has occurred. A window-limited sequential change detection procedure based on the generalized likelihood ratio test statistic is proposed. A recursive update scheme for the proposed test statistic is developed and is shown to be asymptotically optimal under mild technical conditions. In the scenario where the post-change distribution belongs to a parametrized family, a generalized stopping time and a lower bound on its average run length are derived. The proposed stopping rule is compared with the finite moving average (FMA) stopping time and the naive 2-stage procedure that detects the nuisance or critical change using separate CuSum stopping procedures for the nuisance and critical changes. Simulations demonstrate that the proposed rule outperforms the FMA stopping time and the 2-stage procedure, and experiments on a real dataset on bearing failure verify the performance of the proposed stopping time. Ministry of Education (MOE) Accepted version 2021-02-02T05:42:45Z 2021-02-02T05:42:45Z 2019 Journal Article Lau, T. S., & Tay, W. P. (2019). Quickest change detection in the presence of a nuisance change. IEEE Transactions on Signal Processing, 67(20), 5281-5296. doi:10.1109/TSP.2019.2939080 1053-587X 0000-0002-9501-3554 0000-0002-1543-195X https://hdl.handle.net/10356/146209 10.1109/TSP.2019.2939080 2-s2.0-85077738910 20 67 5281 5296 en IEEE Transactions on Signal Processing © 2019 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. The published version is available at: https://doi.org/10.1109/TSP.2019.2939080 application/pdf |
| spellingShingle | Science::Mathematics::Statistics Quickest Change Detection Nuisance Change Lau, Tze Siong Tay, Wee Peng Quickest change detection in the presence of a nuisance change |
| title | Quickest change detection in the presence of a nuisance change |
| title_full | Quickest change detection in the presence of a nuisance change |
| title_fullStr | Quickest change detection in the presence of a nuisance change |
| title_full_unstemmed | Quickest change detection in the presence of a nuisance change |
| title_short | Quickest change detection in the presence of a nuisance change |
| title_sort | quickest change detection in the presence of a nuisance change |
| topic | Science::Mathematics::Statistics Quickest Change Detection Nuisance Change |
| url | https://hdl.handle.net/10356/146209 |
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