Detection of emergence of slow linear changes in the properties of random processes

Article type: Research Article

Authors: Telksnys, Laimutis

Affiliations: Institute of Mathematics and Informatics, Lithuanian Academy of Sciences, 232600 Vilnius, Akademijos St.4, Lithuania

Abstract: The problem of change point detection when the properties of the random process observed suddenly begin changing slowly is considered. The most probable time moments of changes are investigated. Random processes are described by autoregression equations. The situation is studied when slow changes in the properties of a random process take place according to the linear law. An example of solving the problem is presented, realized by computer.

Keywords: random process, autoregression, detection, most probable change

DOI: 10.3233/INF-1991-2107

Journal: Informatica, vol. 2, no. 1, pp. 117-134, 1991