Segmentation of structural curves using dynamic programming methods (Q1058996)

A random process with stepwise-changing parameters that take on a finite set of values is examined. An algorithm, based on dynamic programming methods, is presented for establishing a set of moments when the parameter values change for a fixed-length realization. For the case where the parameter has two values, the algorithm may be used in an infinite realization in real time and is equivalent to multiple application of the well-known Page procedure for determining the fault time of a random process.