SEQUENTIAL PROCEDURE FOR DETECTING DISORDER IN A DIFFUSION PROCESS.

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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title = "SEQUENTIAL PROCEDURE FOR DETECTING DISORDER IN A DIFFUSION PROCESS.",

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.",

author = "Vorobeychikov, {S. E.} and Konev, {V. V.}",

year = "1987",

month = apr,

language = "English",

volume = "32",

pages = "34--42",

journal = "Soviet journal of communications technology & electronics",

issn = "8756-6648",

publisher = "Maik Nauka-Interperiodica Publishing",

number = "4",

}

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T1 - SEQUENTIAL PROCEDURE FOR DETECTING DISORDER IN A DIFFUSION PROCESS.

AU - Vorobeychikov, S. E.

AU - Konev, V. V.

PY - 1987/4

Y1 - 1987/4

N2 - 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.

AB - 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.

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