Quickest detection /
Poor, H. Vincent.
Quickest detection / H.H. Vincent Poor, Olympia Hadjiliadis. - Cambridge, UK ; New York : Cambridge University Press, 2009. - 1 online resource (xii, 229 pages) : illustrations - Cambridge books online. .
Includes bibliographical references (pages 213-224) and index.
Cover; Half-title; Title; Copyright; Dedication; Contents; Figures; Preface; Frequently used notation; 1 Introduction; 2 Probabilistic framework; 3 Markov optimal stopping theory; 4 Sequential detection; 5 Bayesian quickest detection; 6 Non-Bayesian quickest detection; 7 Additional topics; Bibliography; Index
The problem of detecting abrupt changes in the behavior of an observed signal or time series arises in a variety of fields, including climate modeling, finance, image analysis, and security. Quickest detection refers to real-time detection of such changes as quickly as possible after they occur. Using the framework of optimal stopping theory, this book describes the fundamentals underpinning the field, providing the background necessary to design, analyze, and understand quickest detection algorithms. For the first time the authors bring together results which were previously scattered across disparate disciplines, and provide a unified treatment of several different approaches to the quickest detection problem. This book is essential reading for anyone who wants to understand the basic statistical procedures for change detection from a fundamental viewpoint, and for those interested in theoretical questions of change detection. It is ideal for graduate students and researchers of engineering, statistics, economics, and finance.
9780511480652 (electronic bk.) 0511480652 (electronic bk.) 0511479859 (electronic bk.) 9780511479854 (electronic bk.) 9780521621045 (hardback) 0521621046 (hardback) 9780511754678 (ebook) 0511754671 (ebook)
9786612001512
200151 MIL
Change-point problems.
Time-series analysis.
Rupture (Statistique)
Série chronologique.
MATHEMATICS--Probability & Statistics--Time Series.
Change-point problems.
Time-series analysis.
Electronic book.
Electronic books.
QA280 / .P66 2009eb
519.5/5
Quickest detection / H.H. Vincent Poor, Olympia Hadjiliadis. - Cambridge, UK ; New York : Cambridge University Press, 2009. - 1 online resource (xii, 229 pages) : illustrations - Cambridge books online. .
Includes bibliographical references (pages 213-224) and index.
Cover; Half-title; Title; Copyright; Dedication; Contents; Figures; Preface; Frequently used notation; 1 Introduction; 2 Probabilistic framework; 3 Markov optimal stopping theory; 4 Sequential detection; 5 Bayesian quickest detection; 6 Non-Bayesian quickest detection; 7 Additional topics; Bibliography; Index
The problem of detecting abrupt changes in the behavior of an observed signal or time series arises in a variety of fields, including climate modeling, finance, image analysis, and security. Quickest detection refers to real-time detection of such changes as quickly as possible after they occur. Using the framework of optimal stopping theory, this book describes the fundamentals underpinning the field, providing the background necessary to design, analyze, and understand quickest detection algorithms. For the first time the authors bring together results which were previously scattered across disparate disciplines, and provide a unified treatment of several different approaches to the quickest detection problem. This book is essential reading for anyone who wants to understand the basic statistical procedures for change detection from a fundamental viewpoint, and for those interested in theoretical questions of change detection. It is ideal for graduate students and researchers of engineering, statistics, economics, and finance.
9780511480652 (electronic bk.) 0511480652 (electronic bk.) 0511479859 (electronic bk.) 9780511479854 (electronic bk.) 9780521621045 (hardback) 0521621046 (hardback) 9780511754678 (ebook) 0511754671 (ebook)
9786612001512
200151 MIL
Change-point problems.
Time-series analysis.
Rupture (Statistique)
Série chronologique.
MATHEMATICS--Probability & Statistics--Time Series.
Change-point problems.
Time-series analysis.
Electronic book.
Electronic books.
QA280 / .P66 2009eb
519.5/5