Title :
Performance analysis for a changepoint problem
Author :
Hibey, Joseph L. ; Charalambos, C.D.
Author_Institution :
Dept. of Electr. Eng. & Comput. Sci., Colorado Univ., Denver, CO, USA
fDate :
8/1/1999 12:00:00 AM
Abstract :
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
Keywords :
Fokker-Planck equation; Kalman filters; error statistics; filtering theory; mean square error methods; nonlinear differential equations; probability; state estimation; state-space methods; Fokker-Planck equation; changepoint problem; false alarm probability; likelihood-ratio tests; minimum mean-square-error-type estimates; miss error probability; nonlinear stochastic differential equations; performance analysis; Control systems; Delay lines; Delay systems; Differential equations; Error probability; Feedback; Linear systems; Performance analysis; State estimation; Stochastic processes;
Journal_Title :
Automatic Control, IEEE Transactions on
