Quickest Detection of an Abrupt Change in a Random Sequence with Finite Change-Time

Quickest change detection has a wide variety of applications, including search radar, digital signal processing, image processing, monitoring communication channels, and fault detection [l, 21. In this paper a modified Shiryayev criterion [9] is used to study the problem of quickest detection of an abrupt change in a random sequence with independent and identical distributions before and after the change. The modified Shiryayev criterion minimizes expected delay