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

共 50 条

[31] A Model-Free Method for Structual Change Detection Multivariate Nonlinear Time Series
Sun Qinghua 1
2. School of Management
JournalofSystemsEngineeringandElectronics, 2003, (02) : 36 - 46
[32] Application of SPRT for detecting change point in a reliability growth model
Jain, Sudha
Jain, R.K.
Microelectronics Reliability, 1994, 34 (05): : 811 - 814
[33] Multivariate Bayesian Structural Time Series Model
Jammalamadaka, S. Rao
Qiu, Jinwen
Ning, Ning
JOURNAL OF MACHINE LEARNING RESEARCH, 2018, 19
[34] A Survey on Change Detection and Time Series Analysis with Applications
Ghaderpour, Ebrahim
Pagiatakis, Spiros D.
Hassan, Quazi K.
APPLIED SCIENCES-BASEL, 2021, 11 (13):
[35] Nonparametric change point detection for periodic time series
Guo, Lingzhe
Modarres, Reza
CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 2020, 48 (03): : 518 - 534
[36] PROGRESSIVE CHANGE DETECTION IN TIME SERIES OF SAR IMAGES
Mercier, Gregoire
2010 IEEE INTERNATIONAL GEOSCIENCE AND REMOTE SENSING SYMPOSIUM, 2010, : 3086 - 3089
[37] Lake Chapala change detection using time series
Lopez-Caloca, Alejandra
Tapia-Silva, Felipe-Omar
Escalante-Ramirez, Boris
REMOTE SENSING FOR AGRICULTURE, ECOSYSTEMS, AND HYDROLOGY X, 2008, 7104
[38] Dynamic detection of change points in long time series
Chopin, Nicolas
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2007, 59 (02) : 349 - 366
[39] Functional Estimation and Change Detection for Nonstationary Time Series
Mies, Fabian
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2023, 118 (542) : 1011 - 1022
[40] Unsupervised Change Point Detection in Multivariate Time Series
Wu, Daoping
Gundimeda, Suhas
Mou, Shaoshuai
Quinn, Christopher J.
INTERNATIONAL CONFERENCE ON ARTIFICIAL INTELLIGENCE AND STATISTICS, VOL 238, 2024, 238

← 1 2 3 4 5 →