Change-point detection in a linear stochastic system from noisy observations

zbMath0768.62066MaRDI QIDQ2366377

S. Eh. Vorobejchikov, Victor Konev

Publication date: 29 June 1993

Published in: Problems of Information Transmission (Search for Journal in Brave)

zbMATH Keywords

Gaussian noisestochastic difference equationsasymptotic relationshipsautoregression parametercumulative sum algorithmadditive observation noisediscrete-time multivariate processmean change-point detection delaymean time between false alarmssequential change-point detection procedure

Mathematics Subject Classification ID

Sequential statistical methods (62L99) Inference from stochastic processes (62M99) Sequential statistical analysis (62L10)

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