A method of detecting changes in the behaviour of a random sequence based on the Bayes approach

Jiří Michálek; Jiří Skřivánek

Kybernetika (1993)

  • Volume: 29, Issue: 2, page 166-179
  • ISSN: 0023-5954

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Michálek, Jiří, and Skřivánek, Jiří. "A method of detecting changes in the behaviour of a random sequence based on the Bayes approach." Kybernetika 29.2 (1993): 166-179. <http://eudml.org/doc/27709>.

@article{Michálek1993,
author = {Michálek, Jiří, Skřivánek, Jiří},
journal = {Kybernetika},
keywords = {time series; detection of changes; locally stationary sequence; spectral density; maximum likelihood ratio; simulations},
language = {eng},
number = {2},
pages = {166-179},
publisher = {Institute of Information Theory and Automation AS CR},
title = {A method of detecting changes in the behaviour of a random sequence based on the Bayes approach},
url = {http://eudml.org/doc/27709},
volume = {29},
year = {1993},
}

TY - JOUR
AU - Michálek, Jiří
AU - Skřivánek, Jiří
TI - A method of detecting changes in the behaviour of a random sequence based on the Bayes approach
JO - Kybernetika
PY - 1993
PB - Institute of Information Theory and Automation AS CR
VL - 29
IS - 2
SP - 166
EP - 179
LA - eng
KW - time series; detection of changes; locally stationary sequence; spectral density; maximum likelihood ratio; simulations
UR - http://eudml.org/doc/27709
ER -

References

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  1. M. Baseville, A. Benveniste (eds.), Detection of Abrupt Changes in Signals and Dynamic Systems, (Lecture Notes in Control and Information Sciences 77.) Springeг-Verlag, Berlin - Heidelberg - New York 1986. (1986) 
  2. D. H. Crowell R. J. Jones, L. E. Kapuniai, A method for detecting change in a time series applied to newborn EEG, Electгoencephalography and Clinical Neurophysiology 27 (1969), 434-440. (1969) 
  3. N. Kligiene, L. A. Telksnys, Methods of detecting instants of change of random process properties, Autom. Remote Control 44 (1983), 1241-1283. (1983) MR0747000
  4. H. Künsch, Thermodynamics and statistical analysis of Gaussian random fields, Z. Wahrsch. verw. Gebiete 58 (1981), 407-421. (1981) MR0639149
  5. J. Michálek, Yule-Walker estimates and asymptotic l-divergence rate, Problems Control Inform. Theory 19 (1990), (5-6), 387-398. (1990) MR1086831
  6. I. V. Nikoforov, Sequential Detection of Abrupt Changes in Time Series Properties, (in Russian). Nauka, Moscow 1983. (1983) 
  7. O. Šefl, I. Vajda, Spectrum oriented source coding theory, Kybernetika 23 (1987), 458-475. (1987) MR0922622
  8. I. Vajda, Theory of Statistical Inference and Information, Kluwer, Dordrecht - Boston 1990. (1990) 
  9. A. J. Willsky, A survey of desigи methods for failure detection in dynamic systems, Automatica 12 (1976), 601-611. (1976) MR0434578

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