Input-output properties of the Page-Hinkley detector

Gerencsér, László and Prosdocimi, C (2011) Input-output properties of the Page-Hinkley detector. SYSTEMS & CONTROL LETTERS, 60 (7). pp. 486-491. ISSN 0167-6911

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We consider the stochastic input–output properties of a simple non-linear dynamical system, the so-called Page–Hinkley detector, playing a key role in change detection, and also in queuing theory. We show that for L-mixing inputs with negative expectation the output process of this system is L-mixing. The result is applied to get an upper bound for the false alarm rate. The proof is then adapted to get a similar result for the case of random i.i.d. inputs. Possible extensions and open problems are given in the discussion.

Item Type: ISI Article
Subjects: Q Science > QA Mathematics and Computer Science > QA75 Electronic computers. Computer science / számítástechnika, számítógéptudomány
Divisions: Systems and Control Lab
Depositing User: EPrints Admin
Date Deposited: 12 Dec 2012 08:40
Last Modified: 05 Feb 2014 15:48

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