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Multi-variate quickest detection of significant change process

Author

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  • Szajowski, Krzysztof

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

Suggested Citation

  • Szajowski, Krzysztof, 2011. "Multi-variate quickest detection of significant change process," MPRA Paper 33838, University Library of Munich, Germany, revised 19 Sep 2011.
  • Handle: RePEc:pra:mprapa:33838
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    File URL: https://mpra.ub.uni-muenchen.de/33838/1/MPRA_paper_33838.pdf
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    References listed on IDEAS

    as
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    4. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
    5. Wilson, Charles, 1977. "A model of insurance markets with incomplete information," Journal of Economic Theory, Elsevier, vol. 16(2), pages 167-207, December.
    6. Dahlby, B. G., 1983. "Adverse selection and statistical discrimination : An analysis of Canadian automobile insurance," Journal of Public Economics, Elsevier, vol. 20(1), pages 121-130, February.
    7. George A. Akerlof, 1970. "The Market for "Lemons": Quality Uncertainty and the Market Mechanism," The Quarterly Journal of Economics, Oxford University Press, vol. 84(3), pages 488-500.
    8. John, Kose & Williams, Joseph, 1985. " Dividends, Dilution, and Taxes: A Signalling Equilibrium," Journal of Finance, American Finance Association, vol. 40(4), pages 1053-1070, September.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    voting stopping rule; majority voting rule; monotone voting strategy; change-point problems; quickest detection; sequential detection; simple game;

    JEL classification:

    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C71 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Cooperative Games
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General

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