Sequential Procedure for Testing Hypothesis about Mean of Latent Gaussian Process
نویسندگان
چکیده
Sequential Probability Ratio Test (SPRT) has been widely used to detect process anomalies. The purpose of this paper is to present a practical procedure on the basis of SPRT, which recognizes if the mean of a latent Gaussian process Yt significantly deviates from presumed value, via an observable signal resulting from Yt. An equation for estimating the unknown nuisance parameter of the process is obtained, values of likelihood ratio statistic and thresholds are determined. The empirical analysis of the procedure performance is conducted.
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