The problem of detecting abrupt changes in the behavior of an observed signal or time series arises in a variety of fields, including climate modeling, finance, image analysis, and security. Quickest detection refers to real-time detection of such changes as quickly as possible after they occur. Using the framework of optimal stopping theory, this book describes the fundamentals underpinning the field, providing the background necessary to design, analyze, and understand quickest detection algorithms. For the first time the authors bring together results which were previously scattered across disparate disciplines, and provide a unified treatment of several different approaches to the quickest detection problem. This book is essential reading for anyone who wants to understand the basic statistical procedures for change detection from a fundamental viewpoint, and for those interested in theoretical questions of change detection. It is ideal for graduate students and researchers of engineering, statistics, economics, and finance.
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Editorial Reviews
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"Nothing endures but change. This timely book applies Heraclitus' fundamental principle to the processes used to describe change itself. As financial markets ebb and flow, practitioners schooled in quickest detection stand the greatest chance for survival."
Peter Carr, PhD.
Head of Quantitative Financial Research, Bloomberg
Director of the Masters in Math Finance Program, Courant Institute, NYU
Peter Carr, PhD.
Head of Quantitative Financial Research, Bloomberg
Director of the Masters in Math Finance Program, Courant Institute, NYU
Book Description
The problem of detecting abrupt changes in the behavior of a signal arises in many fields. Quickest detection refers to real-time detection of changes as quickly as possible after they occur. This book describes the theory underpinning the field, enabling the reader to design, analyze, and understand quickest detection algorithms.
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Key Phrases - Statistically Improbable Phrases (SIPs):
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sequential detection problem, quickest detection, decentralized sequential, optimal stopping theory, excessive majorant, equalizer rule, optimal stopping time, sequential decision rule, minimal expected cost, quadratic variation process, optimal stopping problem, minimal filtration, optional sampling theorem, game theoretic formulation, stopping time with respect, detection delay, bounded stopping times, delay penalty, local martingale, bounded convergence theorem, ratio process Key Phrases - Capitalized Phrases (CAPs): (learn more)
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sequential detection problem, quickest detection, decentralized sequential, optimal stopping theory, excessive majorant, equalizer rule, optimal stopping time, sequential decision rule, minimal expected cost, quadratic variation process, optimal stopping problem, minimal filtration, optional sampling theorem, game theoretic formulation, stopping time with respect, detection delay, bounded stopping times, delay penalty, local martingale, bounded convergence theorem, ratio process Key Phrases - Capitalized Phrases (CAPs): (learn more)
Modified Drift, Fusion Center Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Surprise Me!
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