Methods of Signal Processing

Change-Point Detection in a Linear Stochastic System from Noisy Observations

S. É. Vorobeichikov, V. V. Konev


Abstract: We consider the problem of detecting the change point in the parameters of a discrete-time multivariate stochastic process described by stochastic difference equations. Only part of the process components are observable. A sequential change-point detection procedure is proposed. Formulas are derived for the procedure characteristics: mean time between false alarms and mean change-point detection delay. The asymptotic relationship between these characteristics is established.

UDC: 621.391.1:519.27

Received: 22.07.1991

 English version: Problems of Information Transmission, 1992, 28:3, 258–264

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