Detection of Changes in the Characteristics of a Gauss-Markov Process

By an extension to the theory of sequential detection with dependent measurements, it is possible to develop a sequential probability ratio test (SPRT) to detect changes in regime in a Gauss-Markov process rather than detecting which of the two regimes exists. It is shown how a posterior form of this extended SPRT may be simplified to reduce computational complexity. The simplified SPRT´s are in fact modifications of the original SPRT detecting the regime and not the change. The tests are applied to the problem of fault detection in a gyro navigational system; the results of a detailed computer simulation are given.