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    Change detection in Markov-modulated time series


    Dey, Subhrakanti and Marcus, Steven I. (1999) Change detection in Markov-modulated time series. In: 1999 Information, Decision and Control. Data and Information Fusion Symposium, Signal Processing and Communications Symposium and Decision and Control Symposium. Proceedings. IEEE, pp. 21-24. ISBN 0780352564

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    Abstract

    We address the problem of online change detection of Markov-modulated time series models. For simplicity, we look at autoregressive time-series models the parameters of which are modulated by a finite-state homogeneous Markov chain. We propose a cumulative sum based statistical test to detect abrupt changes in such processes. Computation of average run length functions, in particular, mean delay in detection and mean time between false alarms are particularly difficult to obtain in closed form for such processes. Although there are ways to approximate such computation, we do not address those issues in this paper. Simulation studies illustrate the detection capability of our proposed test.

    Item Type: Book Section
    Additional Information: Cite as: S. Dey and S. I. Marcus, "Change detection in Markov-modulated time series," 1999 Information, Decision and Control. Data and Information Fusion Symposium, Signal Processing and Communications Symposium and Decision and Control Symposium. Proceedings (Cat. No.99EX251), 1999, pp. 21-24, doi: 10.1109/IDC.1999.754120.
    Keywords: Hidden Markov models; Signal processing; Systems engineering and theory; Fault detection; Educational institutions; Delay effects; Computational modeling; System testing; Signal processing algorithms; Navigation;
    Academic Unit: Faculty of Science and Engineering > Electronic Engineering
    Faculty of Science and Engineering > Research Institutes > Hamilton Institute
    Item ID: 14437
    Identification Number: https://doi.org/10.1109/IDC.1999.754120
    Depositing User: Subhrakanti Dey
    Date Deposited: 19 May 2021 14:05
    Publisher: IEEE
    Refereed: Yes
    URI:

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