Title :
A simple recursive algorithm for diagnosis of abrupt changes in random signals
Author :
Nikiforov, Igor V.
Author_Institution :
Univ. de Technol. de Troyes, France
fDate :
11/1/2000 12:00:00 AM
Abstract :
We address the problem of detecting and isolating abrupt changes in random signals. An asymptotic optimal solution to this problem, which has been proposed in previous works, involve the number of computations at time t which grows to infinity with t. We propose another more realistic criterion, establish a new simple recursive change detection/isolation algorithm, and investigate its statistical properties
Keywords :
error statistics; fault diagnosis; optimisation; random processes; recursive estimation; signal detection; statistical analysis; Monte Carlo simulations; abrupt changes detection; abrupt changes diagnosis; asymptotic optimal solution; error probability; fault detection; industrial quality control; random signals; recursive algorithm; recursive change detection/isolation algorithm; statistical properties; Algorithm design and analysis; Change detection algorithms; Delay effects; Error probability; H infinity control; Minimax techniques; Neural networks; Random sequences; Signal detection; Stochastic processes;
Journal_Title :
Information Theory, IEEE Transactions on
