Detecting jumplike parameter changes and optimal evaluation of the state of discrete dynamical systems (Q1060182)
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scientific article; zbMATH DE number 3906366
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Detecting jumplike parameter changes and optimal evaluation of the state of discrete dynamical systems |
scientific article; zbMATH DE number 3906366 |
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Detecting jumplike parameter changes and optimal evaluation of the state of discrete dynamical systems (English)
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1985
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An optimal algorithm is determined for evaluating the state of a discrete dynamical system and detecting possibly jumplike changes of its parameters and observations. Interrelated equations are given for the a posteriori probability density of the state of a dynamical system and the a posteriori probability of the appearance of a jump. The solution of these equations by approximate methods allows one to find a current evaluation of the state of the system in real time and the median estimate of the jump time. An example is considered in connection with a system described by an autoregression process with jump of the correlation coefficient at a random time.
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optimal algorithm
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discrete dynamical system
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autoregression process with jump
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