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 |
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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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