Performance analysis for a changepoint problem
AuthorHibey, J. L.
Charalambous, Charalambos D.
SourceIEEE Transactions on Automatic Control
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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. System performance is evaluated 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.