Change point detection of autoregressive process with unknown parameters

Sergey E. Vorobeychikov, Yulya B. Burkatovskaya

Division for Information Technology

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

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

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Keywords

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

ASJC Scopus subject areas

Control and Systems Engineering

Cite this

Vorobeychikov, S. E., & Burkatovskaya, Y. B. (2011). Change point detection of autoregressive process with unknown parameters. In Proceedings of the 18th IFAC World Congress (PART 1 ed., Vol. 18, pp. 13215-13220) https://doi.org/10.3182/20110828-6-IT-1002.00572

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Access to Document

10.3182/20110828-6-IT-1002.00572