On the informativeness of measurements in Shiryaev’s Bayesian quickest change detection

• Autores: J.J. Ford, Jasmín Jaimes, Timothy L. Molloy
• Localización: Automatica: A journal of IFAC the International Federation of Automatic Control, ISSN 0005-1098, Nº. 111, 2020
• Idioma: inglés
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• Resumen

  • This paper provides the first description of a weak practical super-martingale phenomenon that can emerge in the test statistic in Shiryaev’s Bayesian quickest change detection (QCD) problem. We establish that this super-martingale phenomenon can emerge under a condition on the relative entropy between pre and post change densities when the measurements are insufficiently informative to overcome the change time’s geometric prior. We illustrate this super-martingale phenomenon in a simple Bayesian QCD problem which highlights the unsuitability of Shiryaev’s test statistic for detecting subtle change events.