Performance analysis for a changepoint problem

Authors
Hibey, JL Charalambous, CD
Citation
Jl. Hibey et Cd. Charalambous, Performance analysis for a changepoint problem, IEEE AUTO C, 44(8), 1999, pp. 1628-1632
Citations number
13
Categorie Soggetti
AI Robotics and Automatic Control
Journal title
IEEE TRANSACTIONS ON AUTOMATIC CONTROL
ISSN journal
00189286 → ACNP
Volume
44
Issue
8
Year of publication
1999
Pages
1628 - 1632
Database
ISI
SICI code
0018-9286(199908)44:8<1628:PAFACP>2.0.ZU;2-1
Abstract
Nonlinear stochastic differential equations are used to model a version of the changepoint problem. State estimates of the minimum mean-square-error-t ype are used in likelihood-ratio tests to detect the time of change. System performance is evaluated by deriving theoretical expressions for the false alarm probability and a special case of the miss error probability, The ap proach uses a Fokker-Planck equation.