Change point detection of autoregressive process with unknown parameters

Sergey E. Vorobeychikov, Yulya B. Burkatovskaya

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Citations (Scopus)

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 languageEnglish
Title of host publicationProceedings of the 18th IFAC World Congress
Pages13215-13220
Number of pages6
Volume18
EditionPART 1
DOIs
Publication statusPublished - 1 Dec 2011
Event18th IFAC World Congress - Milano, Italy
Duration: 28 Aug 20112 Sep 2011

Other

Other18th IFAC World Congress
CountryItaly
CityMilano
Period28.8.112.9.11

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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