Sequential Detection of an Arbitrary Transient Change Profile by the FMA Test

Abstract

This article addresses the sequential detection of transient changes by using the finite moving average (FMA) test. It is assumed that a change occurs at an unknown (but nonrandom) change point and the duration of postchange period is finite and known. We relax the assumption that the profile of a transient change is chosen so that the log-likelihood ratios of the observations are associated random variables (r.v.s) in the prechange mode. Hence, the profile of the transient change is arbitrary and it is not necessarily of constant sign for a distribution with monotone likelihood ratio. A new upper bound for the worst-case probability of false alarm is proposed. It is shown that the optimization of the window-limited cumulative sum (CUSUM) test again leads to the FMA test. Three particular transient changes are considered: in the Gaussian mean, in the Gaussian variance, and in the parameter of exponential distribution. In the first case, a comparison between the bounds for the FMA test operating characteristics and the exact operating characteristics calculated by numerical integration is used to estimate the sharpness of the bounds. In the second and third cases, special attention is paid to the calculation of the FMA distribution in the case of arbitrary profile. The method of convolution is used to solve the problem.