Performance analysis for a changepoint problem
Date
1997Publisher
IEEESource
Proceedings of the American Control ConferenceProceedings of the American Control Conference
Volume
3Pages
1365-1369Google Scholar check
Keyword(s):
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Nonlinear stochastic differential equations are used to model a version of the changepoint problem. State estimates of the minimum-mean-square-error type are used in likelihood-ratio tests to detect the time of change. We then evaluate how well the system performs by deriving theoretical expressions for the false alarm probability and a special case of the miss error probability. The approach uses a Fokker-Planck equation. The overall methodology is general and should be of interest in other applications.