On-line change-point detection (for state space models) using multi-process Kalman filters

DOI10.1016/S0024-3795(98)10132-5zbMath0959.93054WikidataQ126657447 ScholiaQ126657447MaRDI QIDQ1124774

Martin Daumer, Markus Falk

Publication date: 28 November 1999

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

zbMATH Keywords

change-pointbiomedical signalsnoisy time seriesstability of the algorithmembedded outliersmulti-process Kalman filters

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cites Work

• Bayesian forecasting and dynamic models
• Detection of Coseismic Changes of Underground Water Level
• Monitoring Renal Transplants: An Application of the Multiprocess Kalman Filter

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