A METHOD OF DETECTING CHANGES IN THE BEHAVIOR OF LOCALLY STATIONARY-SEQUENCES

被引：0
|
作者：
MICHALEK, J
机构：
来源：
KYBERNETIKA | 1995年 / 31卷 / 01期
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D O I：
暂无
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
A method for the detection of abrupt changes in the course of a locally stationary sequence is proposed. The method is based on a suitable approximation of an observed sequence by autoregressive models that are compared by means of a similarity measure derived from the asymptotic I-divergence rate. The method is illustrated by several numerical results.
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页码：17 / 29
页数：13
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