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Detection and Estimation in Stochastic Systems with Time-Varying Parameters

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Stochastic Theory and Control

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 280))

Abstract

We give a brief survey of recent developments in change-point detection and diagnosis and in estimation of parameters that may undergo occasional changes. There is a large variety of detection and estimation procedures widely scattered in the engineering, economics, statistics and biomedical literature. These procedures can be broadly classified as sequential (or on-line) and fixed sample (or off-line). We focus on detection and estimation procedures that strike a suitable balance between computational complexity and statistical efficiency, and present some of their asymptotically optimal properties.

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Author information

Authors and Affiliations

  1. Department of Statistics, Stanford University, Stanford, CA, 94305, USA

    Tze Leung Lai

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  1. Tze Leung Lai
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Editor information

Editors and Affiliations

  1. Dep. of Mathematics, University of Kansas, 405 Snow Hall, Lawrence, KS, 66045, USA

    Bozenna Pasik-Duncan

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© 2002 Springer-Verlag Berlin Heidelberg

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Lai, T.L. (2002). Detection and Estimation in Stochastic Systems with Time-Varying Parameters. In: Pasik-Duncan, B. (eds) Stochastic Theory and Control. Lecture Notes in Control and Information Sciences, vol 280. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-48022-6_18

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  • DOI: https://doi.org/10.1007/3-540-48022-6_18

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-43777-2

  • Online ISBN: 978-3-540-48022-8

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