51. Asymptotic Optimality of Mixture Rules for Detecting Changes in General Stochastic Models.
- Author
-
Tartakovsky, Alexander G.
- Subjects
STOCHASTIC analysis ,ASYMPTOTIC distribution ,RANDOM variables ,NUMERICAL analysis ,ALGORITHMS - Abstract
The paper addresses a sequential changepoint detection problem for a general stochastic model, assuming that the observed data may be non-i.i.d. (i.e., dependent and non-identically distributed) and prior distribution of the change point is arbitrary. Tartakovsky and Veeravalli (2005), Baron and Tartakovsky (2006), and, more recently, Tartakovsky (2017) developed a general asymptotic theory of changepoint detection for non-i.i.d. stochastic models, assuming certain stability of the log-likelihood ratio process, in the case of simple hypotheses when both pre-change and post-change models are completely specified. However, in most applications, the post-change distribution is not completely known. In the present paper, we generalize previous results to the case of parametric uncertainty, assuming that the parameter of the post-change distribution is unknown. We introduce two detection rules based on mixtures–the mixture Shiryaev rule and the mixture Shiryaev–Roberts rule–and study their asymptotic properties in the Bayesian context. In particular, we provide sufficient conditions under which these rules are first-order asymptotically optimal, minimizing moments of the delay to detection as the probability of false alarm approaches zero. [ABSTRACT FROM AUTHOR]
- Published
- 2019
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