Dr. Olymipia Hadjiliadis (CUNY)

Title: Quickest detection and sequential identification in systems with correlated noise

Abstract: We address the problems of sequential classification and quickest detection in Brownian channels with correlated noise. In the former we demonstrate that the maximum of two SPRTs is asymptotically optimal in identifying the channel with signal as the error probabilities decrease to zero, while in the latter, asymptotic optimality of the minimum of two CUSUM stopping rules in detecting the first instance of a signal as the frequency of false alarms decreases to zero.