Localizing ruptures in block stochastic systems
- 30 Downloads
In the present paper, rupture detection in a possibly complex stochastic system is enhanced by means of a procedure for localizing the actual rupture among various possible sources. A general model is considered which includes a variety oflinear and non-linear innovation based models. The proposed localizing multiple comparison procedure satisfiescoherence andconsonance and, for a wide class of models, strongly controls the familywise error i.e. the various type I error probabilities involved. The first order autoregressive optimal control model is considered as a popular example. Montecarlo simulations are performed to evaluate asymptotic approximations and diagnostic performances by means of mean time of delay and mean time between false alarms. Some conjectures are then given on the possible structure of these indicators.
Keywordsrupture detection ruptures classification multiple comparison procedures innovation process portmanteau test autoregressive optimal control model
Unable to display preview. Download preview PDF.
- Fassò A. (1990), Su un test portmanteau per la rivelazione on-line di rotture.Atti della XXXV Riunione Scientifica della SIS, Padova. 2, 317–324.Google Scholar
- IMSL (1989), User's Manual-STAT-LIBRARY, Houston.Google Scholar
- Kashyap R. L. andRao A. R. (1976),Dynamic stochastic models from empirical data. Academic Press, New York.Google Scholar
- Zanella A. (1973), Sulle procedure di classificazione multipla.Rivista di Statistica Applicata, 64–119.Google Scholar
- Zanella A., Boari G., Guseo R. (1986), Puntualizzazioni sul modello di controllo ad errore di equazione con circuito chiuso: aspetti teorici.Rivista di Statistica Applicata, 19, n. 3, 277–298.Google Scholar