Quadratic tests for detection of abrupt changes in multivariate signals

Igor V. Nikiforov (1)

1 LM2S - Laboratoire Modélisation et Sûreté des Systèmes

This article considers the problem of detecting abrupt changes in the mean of a multivariate Gaussian random signal. A fixed sample size /spl chi//sup 2/-test is compared against the optimum sequential tests (/spl chi//sup 2/-CUSUM and /spl chi//sup 2/-GLR).

Domaines: Traitement du signal et de l'image [eess.SP]

Igor V. Nikiforov. Quadratic tests for detection of abrupt changes in multivariate signals. IEEE Transactions on Signal Processing, 1999, 47 (9), pp.2534-2538. ⟨10.1109/78.782197⟩. ⟨hal-02358879⟩