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- W2096242314 abstract "A multi-source quickest detection problem is considered. Assume there are two independent Poisson processes X1and X2with disorder times θ 1 and θ 2 , respectively: that is the intensities of X1and X2change at random unobservable times θ 1 and θ 2 , respectively. θ 1 and θ 2 are independent of each other and are exponentially distributed. Define θ#25B5θ 1 #22C0θ 2 =min {θ 1 , θ 2 }. For any stopping time τ that is measurable with respect to the filtration generated by the observations define a penalty function of the form R τ =#2219(τ 0 and (τ - 0)+is the positive part of τ - 0. It is of interest to find a stopping time τ that minimizes the above performance index. Since both observations X1and X2reveal information about the disorder time θ, even this simple problem is more involved than solving the disorder problems for X1and X2separately. This problem is formulated in terms of a two dimensional sufficient statistic, and the corresponding optimal stopping problem is examined. Using a suitable single jump operator, this problem is solved explicitly." @default.
- W2096242314 created "2016-06-24" @default.
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- W2096242314 date "2006-10-04" @default.
- W2096242314 modified "2023-09-25" @default.
- W2096242314 title "Quickest Detection of a Minimum of Disorder Times" @default.
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- W2096242314 doi "https://doi.org/10.1109/cdc.2005.1582176" @default.
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