A method of detecting changes in the behaviour of locally stationary sequences

Jiří Michálek

Kybernetika (1995)

  • Volume: 31, Issue: 1, page 17-29
  • ISSN: 0023-5954

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Michálek, Jiří. "A method of detecting changes in the behaviour of locally stationary sequences." Kybernetika 31.1 (1995): 17-29. <http://eudml.org/doc/28345>.

@article{Michálek1995,
author = {Michálek, Jiří},
journal = {Kybernetika},
keywords = {asymptotic I-divergence rate; detection of abrupt changes; locally stationary sequence; autoregressive models; similarity measure},
language = {eng},
number = {1},
pages = {17-29},
publisher = {Institute of Information Theory and Automation AS CR},
title = {A method of detecting changes in the behaviour of locally stationary sequences},
url = {http://eudml.org/doc/28345},
volume = {31},
year = {1995},
}

TY - JOUR
AU - Michálek, Jiří
TI - A method of detecting changes in the behaviour of locally stationary sequences
JO - Kybernetika
PY - 1995
PB - Institute of Information Theory and Automation AS CR
VL - 31
IS - 1
SP - 17
EP - 29
LA - eng
KW - asymptotic I-divergence rate; detection of abrupt changes; locally stationary sequence; autoregressive models; similarity measure
UR - http://eudml.org/doc/28345
ER -

References

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  2. M. Basseville, A. Benveniste, Sequential detection of abrupt changes in spectral characteristics of digital signals, IEEE Trans. Inform. Theory IT-29 (1983), 5, 709-724. (1983) Zbl0511.94008
  3. M. Basseville, A. Benveniste (eds.), Detection of Abrupt Changes in Signals and Dynamic Systems, (Lecture Notes in Control and Inform. Sci. 77). Springer, Berlin 1986. (1986) 
  4. V. Grenander, M. Rossenblatt, Statistical Analysis of Stationary Time Series, J. Wiley, New York 1957. (1957) MR0084975
  5. N. Kligiene, L. A. Telksnys, Methods of detecting instants of change of random process properties, Automat. Remote Control 44 (1983), 1241-1283. (1983) MR0747000
  6. H. Kiinsch, Thermodynamics and statistical analysis of Gaussian random fields, Z. Wahrschein. verw. Gebiete 55 (1981), 407-421. (1981) MR0639149
  7. J. Michalek, Yule-Walker estimates and asymptotic I-divergence rate, Problems Control Inform. Theory 19 (1990), 5-6, 387-398. (1990) Zbl0744.62126MR1086831
  8. I. V. Nikoforov, Sequential Detection of Abrupt Changes in Time Series Properties, Nauka, Moscow 1983 (in Russian). (1983) 
  9. I. Vajda, Theory of Statistical Inference and Information, Kluwer, Dordrecht, Boston 1989. (1989) Zbl0711.62002
  10. I. Vajda, Distances and discrimination rates of stochastic processes, Stochastic Process. Appl. 3 (1990), 47-57. (1990) MR1062582
  11. A. S. Willsky, A survey of design methods for failure detection in dynamic systems, Automatica 12 (1976), 601-611. (1976) Zbl0345.93067MR0434578

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