Abstract
The problem of the rapid detection of the instant when the properties of a signal, described by a stochastic differential equation, change, is discussed. It is assumed that the form of the drift function changes at the instant of 'disorder'. On the basis of a sequential analysis a decision procedure for detecting disorder is constructed and its properties are investigated. The results are illustrated by the example of detecting the instant of an abrupt change in the parameters of the spectrum of a Gaussian Markov process.
| Original language | English |
|---|---|
| Pages (from-to) | 34-42 |
| Number of pages | 9 |
| Journal | Soviet journal of communications technology & electronics |
| Volume | 32 |
| Issue number | 4 |
| Publication status | Published - Apr 1987 |
ASJC Scopus subject areas
- Engineering(all)
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Cite this
Vorobeychikov, S. E., & Konev, V. V. (1987). SEQUENTIAL PROCEDURE FOR DETECTING DISORDER IN A DIFFUSION PROCESS. Soviet journal of communications technology & electronics, 32(4), 34-42.