The estimation of the jump time in a discrete-time change-point problem

被引：0
|
作者：
Fotopoulos, PG [1 ]
Stoumbos, ZG [1 ]
机构：
[1] Natl Tech Univ Athens, Dept Elect Engn, Athens, Greece
来源：
PROCEEDINGS OF THE 36TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-5 | 1997年
关键词：
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
A piecewise-constant process containing a single jump is observed under noise. The conditional density of the jump time is calculated via a measure transformation, and its maximum a posteriori (MAP) estimator is derrived. Assuming that the observation noise vanishes, an asymptotic result for the distribution of the estimation error is calculated.
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页码：1680 / 1681
页数：2
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