On-line change-point detection (for state space models) using multi-process Kalman filters (Q1124774)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On-line change-point detection (for state space models) using multi-process Kalman filters |
scientific article |
Statements
On-line change-point detection (for state space models) using multi-process Kalman filters (English)
0 references
28 November 1999
0 references
Based on multi-process Kalman filters, an algorithm is presented for estimating the probability that a change-point has occurred in a noisy time series. Especially, change-points are considered which arise in biomedical signals, i.e. jumps or drifts in nonstationary time series possibly corrupted by embedded outliers. The stability of the algorithm against outliers is examined, and an example is given.
0 references
multi-process Kalman filters
0 references
change-point
0 references
noisy time series
0 references
biomedical signals
0 references
embedded outliers
0 references
stability of the algorithm
0 references
