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Asymptotically Optimum Sample Size for Quickest Detection

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2 Author(s)
L. Pelkowitz ; Computing Devices Company ; S. C. Schwarts

A method is presented for selecting the asymptotically optimum sample size M for detecting a sudden change in the statistics of an observed process. The test statistic is assumed to be a sum of M consecutive values of some single sample detector and the optimization criterion is to minimize the mean time to detection MD for a given mean time between false alarms MF. It is shown that for large MF and MD the solution can be expressed as a function of the single variable ¿MFß (or alternatively ¿MDß) where ß is a measure of the signal-to-noise ratio (SNR).

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IEEE Transactions on Aerospace and Electronic Systems  (Volume:AES-23 ,  Issue: 2 )