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dc.contributor.authorZhang, H
dc.contributor.authorRodosthenous, N
dc.contributor.authorHadjiliadis, O
dc.identifier.citationZhang, Hongzhong; Rodosthenous, Neofytos; Hadjiliadis, Olympia. Robustness of the N -CUSUM stopping rule in a Wiener disorder problem. Ann. Appl. Probab. 25 (2015), no. 6, 3405--3433. doi:10.1214/14-AAP1078.
dc.description.abstract© 2015 Institute of Mathematical Statistics. We study a Wiener disorder problem of detecting the minimum of N change-points in N observation channels coupled by correlated noises. It is assumed that the observations in each dimension can have different strengths and that the change-points may differ from channel to channel. The objective is the quickest detection of the minimum of the N change-points. We adopt a min-max approach and consider an extended Lorden's criterion, which is minimized subject to a constraint on the mean time to the first false alarm. It is seen that, under partial information of the post-change drifts and a general nonsingular stochastic correlation structure in the noises, the minimum of N cumulative sums (CUSUM) stopping rules is asymptotically optimal as the mean time to the first false alarm increases without bound. We further discuss applications of this result with emphasis on its implications to the efficiency of the decentralized versus the centralized systems of observations which arise in engineering.en_US
dc.format.extent3405 - 3433
dc.publisherThe Institute of Mathematical Statisticsen_US
dc.relation.ispartofAnnals of Applied Probability
dc.titleRobustness of the N-CUSUM stopping rule in a Wiener disorder problemen_US
dc.rights.holder(c) 2015 The Institute of Mathematical Statistics
pubs.organisational-group/Queen Mary University of London
pubs.organisational-group/Queen Mary University of London/Faculty of Science & Engineering
pubs.organisational-group/Queen Mary University of London/Faculty of Science & Engineering/Mathematical Sciences - Staff and Research Students

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