Browsing by Subject "Asymptotic optimality"

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    Asymptotically optimal Bayesian sequential change detection and identification rules
    (2013) Dayanik, S.; Powell, W. B.; Yamazaki, K.
    We study the joint problem of sequential change detection and multiple hypothesis testing. Suppose that the common distribution of a sequence of i.i.d. random variables changes suddenly at some unobservable time to one of finitely many distinct alternatives, and one needs to both detect and identify the change at the earliest possible time. We propose computationally efficient sequential decision rules that are asymptotically either Bayes-optimal or optimal in a Bayesian fixed-error-probability formulation, as the unit detection delay cost or the misdiagnosis and false alarm probabilities go to zero, respectively. Numerical examples are provided to verify the asymptotic optimality and the speed of convergence. © 2012 Springer Science+Business Media, LLC.
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    Detection and identification of changes of hidden Markov chains: Asymptotic theory
    (Springer Science and Business Media B.V., 2021-10-06) Dayanık, Savaş; Yamazaki, Kazutoshi
    This paper revisits a unified framework of sequential change-point detection and hypothesis testing modeled using hidden Markov chains and develops its asymptotic theory. Given a sequence of observations whose distributions are dependent on a hidden Markov chain, the objective is to quickly detect critical events, modeled by the first time the Markov chain leaves a specific set of states, and to accurately identify the class of states that the Markov chain enters. We propose computationally tractable sequential detection and identification strategies and obtain sufficient conditions for the asymptotic optimality in two Bayesian formulations. Numerical examples are provided to confirm the asymptotic optimality. © 2021, The Author(s).
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    Time delay estimation in cognitive radio systems
    (IEEE, 2009-12) Koçak, Fatih; Çelebi, H.; Gezici, Sinan; Qaraqe, K. A.; Arslan, H.; Poor, H. V.
    In cognitive radio systems, secondary users can utilize multiple dispersed bands that are not used by primary users. In this paper, time delay estimation of signals that occupy multiple dispersed bands is studied. First, theoretical limits on time delay estimation are reviewed. Then, two-step time delay estimators that provide trade-offs between computational complexity and performance are investigated. In addition, asymptotic optimality properties of the two-step time delay estimators are discussed. Finally, simulation results are presented to explain the theoretical results. © 2009 IEEE.