Model Introduced SPRT for Structural Change Detection of Time Series (II)

被引：0

作者：

Koyama, Yoshihide ^{[1
]}

Hattori, Tetsuo ^{[1
]}

Kawano, Hiromichi ^{[2
]}

机构：

[1] Kagawa Univ, Grad Sch Engn, 2217-20 Hayashi, Takamatsu, Kagawa 7610396, Japan

[2] NTT Adv Technol, Tokyo 1800006, Japan

来源：

PROCEEDINGS OF INTERNATIONAL CONFERENCE ON ARTIFICIAL LIFE AND ROBOTICS (ICAROB 2014) | 2014年

关键词：

Change detection; SPRT; Hidden Markov Model; Information Theory; Kansei Channel; Bayes' Updating;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

In this paper, using the notion of a binary Channel Matrix what we call "Kansei Channel" as well known in Information Theory, we present an equivalent relation between the SPRT and Bayes' Updating. Moreover, we show the relationship between the SPRT (Sequential Probability Ratio Test) and the Sequential Probability Ratio of two corresponding conditional probabilities when a Hidden Markov Model with Poisson process is introduced as the structural change model.

引用

页码：256 / 259

页数：4

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