论文标题
具有指数族分布的瞬态信号的顺序检测
Sequential Detection of Transient Signals with Exponential Family Distribution
论文作者
论文摘要
我们首先通过将移动平均图表概括为指数族，并研究稳定状态下的错误检测概率（FDP）和检测功率（POD）来考虑瞬态信号的顺序检测。然后通过将其视为正常的随机变量来研究窗户的调整后的签名（或修改后的）似然比图表。在多参数指数家族中，通过使用通用的调整后的签名的似然比图，考虑了一个规范参数之一的瞬态变化或规范参数的函数。与窗户限制的库司和Shiryayev-Roberts（S-R）程序的比较表明，广义签名的似然比图表现良好。几个重要示例，包括正常模型下的均值或方差变化和真实示例用于说明。
We first consider the sequential detection of transient signals by generalizing the moving average chart to exponential family and study the false detection probability (FDP) and power of detection (POD) in the steady state. Then windowed adjusted signed (or modified directed) likelihood ratio chart is studied by treating it as normal random variable. In the multi-parameter exponential family, the detection of the transient change of one of the canonical parameters or a function of canonical parameters is considered by using the generalized adjusted signed likelihood ratio chart. Comparisons with window restricted CUSUM and Shiryayev-Roberts (S-R) procedures show that the generalized signed likelihood ratio chart performs quite well. Several important examples including the mean or variance change under normal model and a real example are used for illustration.
