Title :
The estimation of the jump time in a discrete-time change-point problem
Author :
Fotopoulos, Panagiotis G. ; Stoumbos, Zachary G.
Author_Institution :
Dept. of Electr. Eng., Nat. Tech. Univ. of Athens, Greece
Abstract :
A piecewise-constant process containing a single jump is observed under noise. The conditional density of the jump time is calculated via a measure transformation, and its maximum a posteriori estimator is derived. Assuming that the observation noise vanishes, an asymptotic result for the distribution of the estimation error is calculated
Keywords :
discrete time systems; estimation theory; noise; probability; stochastic processes; stochastic systems; change-point problem; discrete time systems; estimation error; jump time estimation; maximum a posteriori estimator; piecewise-constant process; probability; Density measurement; Detectors; Electrical equipment industry; Engineering management; Information management; Management information systems; Operations research; Random variables; Stochastic systems; Time measurement;
Conference_Titel :
Decision and Control, 1997., Proceedings of the 36th IEEE Conference on
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4187-2
DOI :
10.1109/CDC.1997.657790
