Multi-variate quickest detection of significant change process

Krzysztof Szajowski

MPRA Paper from University Library of Munich, Germany

Abstract: The paper deals with a mathematical model of a surveillance system based on a net of sensors. The signals acquired by each node of the net are Markovian process, have two different transition probabilities, which depends on the presence or absence of a intruder nearby. The detection of the transition probability change at one node should be confirmed by a detection of similar change at some other sensors. Based on a simple game the model of a fusion center is then constructed. The aggregate function defined on the net is the background of the definition of a non-cooperative stopping game which is a model of the multivariate disorder detection

Keywords: voting stopping rule; majority voting rule; monotone voting strategy; change-point problems; quickest detection; sequential detection; simple game (search for similar items in EconPapers)
JEL-codes: C11 C44 C71 (search for similar items in EconPapers)
Date: 2011-07-25, Revised 2011-09-19
New Economics Papers: this item is included in nep-ore
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Forthcoming in Lecture Notes in Computer Science GameSec 2011.7037(2011): pp. 56-66

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:33838

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