Title :
Online detection and estimation of parameter jumps
Author :
Chowdhury, Fahmida N. ; Aravena, Jorge L.
Author_Institution :
Louisiana State Univ., Baton Rouge, LA, USA
Abstract :
The problem of fast online detection and estimation of parameter jumps is discussed. The proposed solution uses a modified test of hypothesis to select the appropriate parameter estimation algorithm. The most significant feature of the test is the use of different thresholds for acceptance and for rejection of the null hypothesis. This feature creates a maybe region which can be used to advantage. The resulting combined filter algorithm can minimize the upper bound of missed-jump and false-alarm probabilities. Computer simulations using a single sample testing show good detection speed
Keywords :
filtering and prediction theory; parameter estimation; combined filter algorithm; computer simulation; false-alarm probabilities; missed-jump probability; null hypothesis acceptance threshold; null hypothesis rejection threshold; parameter estimation; parameter jump detection; probability upper bound minimization; Chemistry; Computer simulation; Covariance matrix; Equations; Filters; Fluctuations; Gaussian noise; Parameter estimation; Testing; Upper bound;
Conference_Titel :
Southeastcon '90. Proceedings., IEEE
Conference_Location :
New Orleans, LA
DOI :
10.1109/SECON.1990.117907
