Quickest change detection under a nuisance change

• Main Authors: Lau, Tze Siong, Tay, Wee Peng
• Other Authors: School of Electrical and Electronic Engineering
• Format: Conference or Workshop Item
• Language: English
• Published: 2020
• Subjects: Engineering::Electrical and electronic engineering; Quickest Change Detection; Nuisance Change
• Online Access: https://hdl.handle.net/10356/137341
• Institution: Nanyang Technological University

We consider the problem of quickest change detection (QCD) for a signal which may undergo both a nuisance and a critical change. Our goal is to detect the critical change without raising a false alarm over the nuisance change. An optimal sequential change detection procedure is proposed for the Baye...