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 | |
| 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 |
Fingerprint
Keywords
- Autoregressive process
- Change point detection
- Guaranteed estimation
- Sequential algorithms
- Weighted least square method
ASJC Scopus subject areas
- Control and Systems Engineering
Cite this
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 proceeding › Conference contribution
}
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 -