论文标题
检测未知持续时间的间歇变化
Detecting an Intermittent Change of Unknown Duration
论文作者
论文摘要
实际上,在实践中,观察到的过程在未知点的统计属性上改变了统计属性,并且变化的持续时间基本上是有限的,在这种情况下,人们说变化是间歇性或暂时性的。我们提供了现有的间歇性变更检测方法的概述,并倡导了由变更的间歇性质驱动的特定环境。我们提出了一个新型的优化标准,该标准更适合许多应用领域,例如在物理计算机系统中检测威胁,近使空间信息学,流行病学,药代动力学等。我们认为,控制局部条件性的概率是控制错误的误报,而不是熟悉的频率变化,而不是熟悉的差异,并且可以更大程度地变化,以最大程度地变化,以最大程度地变化,而差异是更大的差异。需要最大程度地减少预期延迟的检测。我们在变化持续时间方面采用了最大似然(ML)方法,并表明几种常用的检测规则(CUSUM,窗户限制的Cusum和FMA)等于基于ML的停止时间。我们讨论如何为这些规则选择设计参数,并提供全面的模拟研究来证实直觉期望。
Oftentimes in practice, the observed process changes statistical properties at an unknown point in time and the duration of a change is substantially finite, in which case one says that the change is intermittent or transient. We provide an overview of existing approaches for intermittent change detection and advocate in favor of a particular setting driven by the intermittent nature of the change. We propose a novel optimization criterion that is more appropriate for many applied areas such as the detection of threats in physical-computer systems, near-Earth space informatics, epidemiology, pharmacokinetics, etc. We argue that controlling the local conditional probability of a false alarm, rather than the familiar average run length to a false alarm, and maximizing the local conditional probability of detection is a more reasonable approach versus a traditional quickest change detection approach that requires minimizing the expected delay to detection. We adopt the maximum likelihood (ML) approach with respect to the change duration and show that several commonly used detection rules (CUSUM, window-limited CUSUM, and FMA) are equivalent to the ML-based stopping times. We discuss how to choose design parameters for these rules and provide a comprehensive simulation study to corroborate intuitive expectations.