Optimality of CUSUM rule approximations in change-point detection problems: Application to nonlinear state-space systems

IEEE Transactions on Information Theory

Volumn 54, Issue 11, 2008, Pages 5102-5112

  Verdier, Ghislain ^a   Hilgert, Nadine ^b   Vila, Jean Pierre ^b  

^a UNIVERSITÉ DE MONTPELLIER   (France)

^b UMR 729 MISTEA   (France)

Author keywords

Average run length (ARL) constraint; Convolution kernel filter; Cumulative sum (CUSUM) rule; Model change detection; Particle filter; State space systems

Indexed keywords

AIR FILTERS; CONVOLUTION; DISTRIBUTED COMPUTER SYSTEMS; FUNCTIONS; NONLINEAR FILTERING; SIGNAL DETECTION; SIGNAL FILTERING AND PREDICTION; STOCHASTIC MODELS; TARGET TRACKING; WAVE FILTERS;

AVERAGE RUN LENGTH (ARL) CONSTRAINT; CONVOLUTION KERNEL FILTER; CUMULATIVE SUM (CUSUM) RULE; MODEL CHANGE DETECTION; PARTICLE FILTER; STATE-SPACE SYSTEMS;

PROBABILITY DENSITY FUNCTION;

EID: 55349139704     PISSN: 00189448     EISSN: None     Source Type: Journal    
DOI: 10.1109/TIT.2008.929964     Document Type: Article

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