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Performance of CUSUM tests for detecting changes in continuous time processes

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1 Author(s)
Moustakides, G.V. ; INRIA, Rennes, France

We present a general methodology, for computing the worst mean detection delay of the CUSUM test for detecting changes in continuous time processes. The proposed method is applied to the problem of detecting changes in the constant drift of a Brownian motion and in the rate of a homogeneous Poisson process. Closed form expressions obtained for the latter case are completely novel.

Published in:

Information Theory, 2002. Proceedings. 2002 IEEE International Symposium on

Date of Conference:

2002

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