Stochastic Systems

Cumulative sums for detection of changes in characteristics of a random process

I. V. Nikiforov

Moscow

Abstract: The Page algorithm is extended to autoregression of the random order slidingmean. Approximations of mean delay times in detection of a «faul» and of mean timefrom start of the observation to a «false» alarm in the case of no «false» alarm in the case of no «fault». Sensitivity of the algorithm to in accurate specification of the mean and variance following the «fault» is studied. To obtain the accuracy of the resultant approximations the «fault» detection process is statically modeled.

UDC: 519.272


Received: 04.09.1977

 English version: Automation and Remote Control, 1979, 40:2, 192–200

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