Multichannel Sequential Detection- Part I: Non-i.i.d. Data

TL;DR

This paper develops asymptotically optimal multichannel sequential detection methods for non-i.i.d. data, extending previous i.i.d. results to more general stochastic models with practical applications.

Contribution

It introduces generalized and mixture-based sequential likelihood ratio tests that are asymptotically optimal for non-i.i.d. multichannel data, broadening detection theory beyond i.i.d. assumptions.

Findings

Both tests minimize moments of stopping time asymptotically.

The methods apply to Gaussian hidden Markov models and autoregressive processes.

Simulation confirms practical effectiveness of the proposed tests.

Abstract

We consider the problem of sequential signal detection in a multichannel system where the number and location of signals is a priori unknown. We assume that the data in each channel are sequentially observed and follow a general non-i.i.d. stochastic model. Under the assumption that the local log-likelihood ratio processes in the channels converge r-completely to positive and finite numbers, we establish the asymptotic optimality of a generalized sequential likelihood ratio test and a mixture-based sequential likelihood ratio test. Specifically, we show that both tests minimize the first r moments of the stopping time distribution asymptotically as the probabilities of false alarm and missed detection approach zero. Moreover, we show that both tests asymptotically minimize all moments of the stopping time distribution when the local log-likelihood ratio processes have independent increments and simply obey the Strong Law of Large Numbers. This extends a result previously known in the case of i.i.d. observations when only one channel is affected. We illustrate the general detection theory using several practical examples, including the detection of signals in Gaussian hidden Markov models, white Gaussian noises with unknown intensity, and testing of the first-order autoregression's correlation coefficient. Finally, we illustrate the feasibility of both sequential tests when assuming an upper and a lower bound on the number of signals and compare their non-asymptotic performance using a simulation study.