Abstract
We present an algorithm for the sequential detection of changes in the spectrum of a multidimensional process. We investigate the asymptotic properties of the statistic that we use in the case of a real Gaussian process. The algorithm of detection is based on a sequential likelihood-ratio test. Simulations show the very good behavior of the algorithm in the case of Gaussian and non-Gaussian processes. In both cases, changes are detected with good accuracy, while the number of false alarms is small.
| Original language | English |
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| Pages (from-to) | 742-749 |
| Number of pages | 8 |
| Journal | IEEE Transactions on Signal Processing |
| Volume | 41 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 1 Jan 1993 |
| Externally published | Yes |