Detection of Changes in the Spectrum of a Multidimensional Process

Marc Lavielle

doi:10.1109/78.193214

Detection of Changes in the Spectrum of a Multidimensional Process

Marc Lavielle

Université Paris-Saclay

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
Pages (de - à)	742-749
Nombre de pages	8
journal	IEEE Transactions on Signal Processing
Volume	41
Numéro de publication	2
Les DOIs	https://doi.org/10.1109/78.193214
état	Publié - 1 janv. 1993
Modification externe	Oui

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10.1109/78.193214

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Detection of Changes in the Spectrum of a Multidimensional Process

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