Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
756526 | Systems & Control Letters | 2011 | 6 Pages |
Abstract
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 LL-mixing inputs with negative expectation the output process of this system is LL-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.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
László Gerencsér, Cecilia Prosdocimi,