Performance Bounds for Finite Moving Average Tests in Transient Change Detection

Abstract

This paper deals with the problem of sequentially detecting statistical changes. In particular, the focus is on transient change detection, in which a probability minimizing optimal criterion is desirable. This is in contrast with the traditional minimization of the detection delay, proposed in quickest change detection problems. A finite moving average stopping time is proposed for the general transient change detection problem. The statistical performance of this stopping time is investigated and compared to other methods available in the literature. The proposed stopping time and theoretical findings are applied to quality monitoring, including reliability monitoring in industrial processes and signal quality monitoring in global navigation satellite systems. Numerical simulations are presented to assess the goodness of the presented theoretical results, and the performance of the considered stopping times. This will show the superiority of the proposed scheme.