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Kybernetika 29(2):166-179, 1993.

A Method of Detecting Changes in the Behaviour of a Random Sequence Based on the Bayes Approach

Jiří Michálek and Jiří Skřivánek


Abstract:

A method for the detection of changes in the behaviour of a locally stationary sequence is presented. A change can occur either as an abrupt jump in mean value or as a change in the spectral density function. The detection of changes is based on the Bayes approach. The suggested method is compared with a classical method based on maximal likelihood ratio and is presented by several numerical simulations.


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BIB TeX

@article{kyb:1993:2:166-179,

author = {Mich\'{a}lek, Ji\v{r}\'{\i} and Sk\v{r}iv\'{a}nek, Ji\v{r}\'{\i}},

title = {A Method of Detecting Changes in the Behaviour of a Random Sequence Based on the Bayes Approach},

journal = {Kybernetika},

volume = {29},

year = {1993},

number = {2},

pages = {166-179}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


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