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On -line detection of jumps in mean

  • Part I Detection Of Jumps In The Mean Of A Signal. Extension To Additive Changes In State Space Models
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Detection of Abrupt Changes in Signals and Dynamical Systems

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 77))

Abstract

The purpose of this first chapter is the presentation of the main concepts and tools which are used for on-line detection of model changes, in the simplest case, namely jumps in mean. As far as possible, the intuitive aspects of the methods will be emphasized, and the next chapters will be introduced.

First of all, the problem and the tradeoffs to be solved will be described in the first section. Then, in section II, we present the two tools which turn out to be the most powerful: Page-Hinkley's test and the likelihood ratio test. Their statistical properties will be studied and compared to others, from heuristical, theoretical and simulation points of view.

Finally, section III will be devoted to some application examples.

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References

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Authors and Affiliations

  1. IRISA/CNRS, France

    Michèle Basseville

Authors
  1. Michèle Basseville
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Michèle Basseville Albert Benveniste

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© 1985 Springer-Verlag

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Basseville, M. (1985). On -line detection of jumps in mean. In: Basseville, M., Benveniste, A. (eds) Detection of Abrupt Changes in Signals and Dynamical Systems. Lecture Notes in Control and Information Sciences, vol 77. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0006387

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  • DOI: https://doi.org/10.1007/BFb0006387

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-16043-4

  • Online ISBN: 978-3-540-39726-7

  • eBook Packages: Springer Book Archive

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