Change point detection of autoregressive process with unknown parameters

Sergey E. Vorobeychikov, Yulya B. Burkatovskaya

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

2 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

Fingerprint

Computer simulation

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

Change point detection of autoregressive process with unknown parameters. / Vorobeychikov, Sergey E.; Burkatovskaya, Yulya B.

Proceedings of the 18th IFAC World Congress. Vol. 18 PART 1. ed. 2011. p. 13215-13220.

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

Vorobeychikov, SE & Burkatovskaya, YB 2011, Change point detection of autoregressive process with unknown parameters. in Proceedings of the 18th IFAC World Congress. PART 1 edn, vol. 18, pp. 13215-13220, 18th IFAC World Congress, Milano, Italy, 28.8.11. https://doi.org/10.3182/20110828-6-IT-1002.00572
Vorobeychikov SE, Burkatovskaya YB. Change point detection of autoregressive process with unknown parameters. In Proceedings of the 18th IFAC World Congress. PART 1 ed. Vol. 18. 2011. p. 13215-13220 https://doi.org/10.3182/20110828-6-IT-1002.00572
Vorobeychikov, Sergey E. ; Burkatovskaya, Yulya B. / Change point detection of autoregressive process with unknown parameters. Proceedings of the 18th IFAC World Congress. Vol. 18 PART 1. ed. 2011. pp. 13215-13220
@inproceedings{2e17908528b24e2a94778f06c72cf0fa,
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.}",
year = "2011",
month = "12",
day = "1",
doi = "10.3182/20110828-6-IT-1002.00572",
language = "English",
isbn = "9783902661937",
volume = "18",
pages = "13215--13220",
booktitle = "Proceedings of the 18th IFAC World Congress",
edition = "PART 1",

}

TY - GEN

T1 - Change point detection of autoregressive process with unknown parameters

AU - Vorobeychikov, Sergey E.

AU - Burkatovskaya, Yulya B.

PY - 2011/12/1

Y1 - 2011/12/1

N2 - 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.

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.

KW - Autoregressive process

KW - Change point detection

KW - Guaranteed estimation

KW - Sequential algorithms

KW - Weighted least square method

UR - http://www.scopus.com/inward/record.url?scp=84866773303&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84866773303&partnerID=8YFLogxK

U2 - 10.3182/20110828-6-IT-1002.00572

DO - 10.3182/20110828-6-IT-1002.00572

M3 - Conference contribution

AN - SCOPUS:84866773303

SN - 9783902661937

VL - 18

SP - 13215

EP - 13220

BT - Proceedings of the 18th IFAC World Congress

ER -