Non–Bayesian quickest detection

In Chapter 5, we considered the quickest detection problem within the framework proposed by Kolmogorov and Shiryaev, in which the unknown change point is assumed to be a random variable with a given, geometric, prior distribution. This formulation led to a very natural detection procedure; namely, announce a change at the first upcrossing of a suitable threshold by the posterior probability of a change. Although the assumption of a prior on the change point is rather natural in applications such as condition monitoring, there are other applications in which this assumption is unrealistic. For example, in surveillance or inspection systems, there is often no pre–existing statistical model for the occurence of intruders or flaws.