Sequential Detection of Changes in Stochastic Systems

Igor V. Nikiforov (1)

1 ICS - Institute of Control Sciences [Moscou]

The paper deals with the analysis of sequential detecting of the changes occurring in etochastic signals and systems properties. The author investigates the properties of a cumulative sum algorithm and its utilization in the models of stochastic signals of the autoregressive moving average type (ARMA).

Domains: Computer Science [cs]

Igor V. Nikiforov. Sequential Detection of Changes in Stochastic Systems. 2nd IFAC Workshop on Adaptive Systems in Control and Signal Processing 1986, Jun 1986, Lund, Switzerland. pp.321-327, ⟨10.1016/S1474-6670(17)55981-9⟩. ⟨hal-02884637⟩