Detection of Abrupt Changes: Theory and ApplicationPrentice Hall, 1993 - 528 páginas Presents mathematical tools and techniques for solving change detection problems in wide domains like signal processing, controlled systems and monitoring. The book covers a wide class of stochastic processes, including scalar independent observations and multidimensional dependent ARMA. |
Conteúdo
Introduction | 1 |
List of Tables | 5 |
Change Detection Algorithms | 7 |
Direitos autorais | |
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Termos e frases comuns
additive changes approach ARL function ARMA models assume asymptotic basic bound Brownian motion change detection algorithms change detection problems chapter composite hypotheses computed conditional consider control chart corresponding covariance matrix cumulative sum decision function decision rule defined definition delay for detection density depicted in figure derivation discuss distribution dynamic profiles efficient score equation estimation example exponential family false alarms Fisher information Fisher information matrix formula Gaussian sequence geometrical GLR algorithm H₁ hypotheses testing problem innovation introduced investigate Kalman filter Kullback information likelihood function likelihood ratio log-likelihood ratio Lorden mean value min{k minmax nonadditive changes observations off-line on-line optimal P-wave Po₁ point of view priori information properties random variable sample Shewhart Shiryaev signal SPRT state-space models stopping rule subsection sufficient statistic theorem threshold h transfer function unknown variance vector Y₁ μο