Sequential Analysis: Hypothesis Testing and Changepoint Detection

Covers hypothesis testing and changepoint detection problems in important application areas, such as target detection and tracking, navigation system integrity monitoring, mechanical systems integrity monitoring, computer network surveillance and security, and more Discusses the design of sequential algorithms and their optimality properties in various problem settings, such as Bayesian and minimax Describes practical discrete-time models and general cases that include both continuous- and discrete-time models Treats traditional i.i.d. models for observations as well as very general non-i.i.d. stochastic models that include Markov, hidden Markov, state-space linear and non-linear, regression, and autoregression models as particular cases Explores multiple decision-making problems, including sequential multihypothesis tests and quickest change detection–isolation procedures Summary Sequential Analysis: Hypothesis Testing and Changepoint Detection systematically develops the theory of sequential hypothesis testing and quickest changepoint detection. It also describes important applications in which theoretical results can be used efficiently. The book reviews recent accomplishments in hypothesis testing and changepoint detection both in decision-theoretic (Bayesian) and non-decision-theoretic (non-Bayesian) contexts. The authors not only emphasize traditional binary hypotheses but also substantially more difficult multiple decision problems. They address scenarios with simple hypotheses and more realistic cases of two and finitely many composite hypotheses. The book primarily focuses on practical discrete-time models, with certain continuous-time models also examined when general results can be obtained very similarly in both cases. It treats both conventional i.i.d. and general non-i.i.d. stochastic models in detail, including Markov, hidden Markov, state-space, regression, and autoregression models. Rigorous proofs are given for the most important results. Written by leading authorities in the field, this book covers the theoretical developments and applications of sequential hypothesis testing and sequential quickest changepoint detection in a wide range of engineering and environmental domains. It explains how the theoretical aspects influence the hypothesis testing and changepoint detection problems as well as the design of algorithms.

• ISBN: 9781439838204
• Editorial: CHAPMAN & HALL LTD.
• Encuadernacion: Tela
• Páginas: 603
• Fecha Publicación: 27/08/2014
• Nº Volúmenes: 1
• Idioma: