OPTIMALITY OF THE SEQUENTIAL PROBABILITY RATIO TEST FOR NONSTATIONARY OBSERVATIONS

被引：23
作者：
LIU, Y
BLOSTEIN, SD
机构：
[1] Department of Electrical Engineering, Queen's University, Kingston, ON
来源：
IEEE TRANSACTIONS ON INFORMATION THEORY | 1992年 / 38卷 / 01期
基金：
加拿大自然科学与工程研究理事会;
关键词：
DETECTION OF NONSTATIONARY SIGNALS; SEQUENTIAL PROBABILITY RATIO TEST OPTIMALITY; WALDS LOWER BOUND;
D O I：
10.1109/18.108268
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Bayesian analysis is used to show that Wald's sequential probability ratio test (SPRT) with varying thresholds is optimal for the nonstationary situation, where the observed samples are independent but not identically distributed. Some important properties useful for the design of the test thresholds are discussed. Wald's lower bound, generalized to the nonstationary situation, is also presented. The results have important applications in situations where the observed signal is time-varying, such as in radar signal processing, image processing, and spread spectrum communications.
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页码：177 / 182
页数：6
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