Change point detection of autoregressive process with unknown parameters

Abstract

The problem of detecting the parameters change point in the autoregressive process is considered. The values of the process parameters before and after the change point are supposed to be unknown. The procedure of change point detection based on the sequential estimations of unknown parameters is proposed, procedure characteristics are studied. Results of numerical simulations are presented.

Original language	English
Title of host publication	Proceedings of the 18th IFAC World Congress
Pages	13215-13220
Number of pages	6
Volume	18
Edition	PART 1
DOIs	https://doi.org/10.3182/20110828-6-IT-1002.00572
Publication status	Published - 1 Dec 2011
Event	18th IFAC World Congress - Milano, Italy Duration: 28 Aug 2011 → 2 Sep 2011

Other

Other	18th IFAC World Congress
Country	Italy
City	Milano
Period	28.8.11 → 2.9.11

Keywords

Autoregressive process
Change point detection
Guaranteed estimation
Sequential algorithms
Weighted least square method

ASJC Scopus subject areas

Control and Systems Engineering

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10.3182/20110828-6-IT-1002.00572

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title = "Change point detection of autoregressive process with unknown parameters",

abstract = "The problem of detecting the parameters change point in the autoregressive process is considered. The values of the process parameters before and after the change point are supposed to be unknown. The procedure of change point detection based on the sequential estimations of unknown parameters is proposed, procedure characteristics are studied. Results of numerical simulations are presented.",

keywords = "Autoregressive process, Change point detection, Guaranteed estimation, Sequential algorithms, Weighted least square method",

author = "Vorobeychikov, {Sergey E.} and Burkatovskaya, {Yulya B.}",

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AB - The problem of detecting the parameters change point in the autoregressive process is considered. The values of the process parameters before and after the change point are supposed to be unknown. The procedure of change point detection based on the sequential estimations of unknown parameters is proposed, procedure characteristics are studied. Results of numerical simulations are presented.

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KW - Change point detection

KW - Guaranteed estimation

KW - Sequential algorithms

KW - Weighted least square method

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