Change point detection of autoregressive process with unknown parameters

Sergey E. Vorobeychikov, Yulya B. Burkatovskaya

Результат исследований: Материалы для книги/типы отчетовМатериалы для конференции

2 Цитирования (Scopus)

Выдержка

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.

Язык оригиналаАнглийский
Название основной публикацииProceedings of the 18th IFAC World Congress
Страницы13215-13220
Число страниц6
Том18
ИзданиеPART 1
DOI
СостояниеОпубликовано - 1 дек 2011
Событие18th IFAC World Congress - Milano, Италия
Продолжительность: 28 авг 20112 сен 2011

Другое

Другое18th IFAC World Congress
СтранаИталия
ГородMilano
Период28.8.112.9.11

Отпечаток

Computer simulation

ASJC Scopus subject areas

  • Control and Systems Engineering

Цитировать

Vorobeychikov, S. E., & Burkatovskaya, Y. B. (2011). Change point detection of autoregressive process with unknown parameters. В Proceedings of the 18th IFAC World Congress (PART 1 ред., Том 18, стр. 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. Том 18 PART 1. ред. 2011. стр. 13215-13220.

Результат исследований: Материалы для книги/типы отчетовМатериалы для конференции

Vorobeychikov, SE & Burkatovskaya, YB 2011, Change point detection of autoregressive process with unknown parameters. в Proceedings of the 18th IFAC World Congress. PART 1 ред., том. 18, стр. 13215-13220, 18th IFAC World Congress, Milano, Италия, 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. В Proceedings of the 18th IFAC World Congress. PART 1 ред. Том 18. 2011. стр. 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. Том 18 PART 1. ред. 2011. стр. 13215-13220
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