A simple recursive algorithm for diagnosis of abrupt changes in random signals

Abstract : We address the problem of detecting and isolating abrupt changes in random signals. An asymptotic optimal solution to this problem, which has been proposed in previous works, involve the number of computations at time t which grows to infinity with t. We propose another more realistic criterion, establish a new simple recursive change detection/isolation algorithm, and investigate its statistical properties.
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https://hal-utt.archives-ouvertes.fr/hal-02290445
Contributor : Jean-Baptiste Vu Van <>
Submitted on : Tuesday, September 17, 2019 - 4:27:32 PM
Last modification on : Wednesday, September 18, 2019 - 1:28:49 AM

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Igor Nikiforov. A simple recursive algorithm for diagnosis of abrupt changes in random signals. IEEE Transactions on Information Theory, Institute of Electrical and Electronics Engineers, 2000, 46 (7), pp.2740-2746. ⟨10.1109/18.887891⟩. ⟨hal-02290445⟩

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