On-line change-point detection (for state space models) using multi-process Kalman filters (Q1124774)
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scientific article; zbMATH DE number 1371016
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| English | On-line change-point detection (for state space models) using multi-process Kalman filters |
scientific article; zbMATH DE number 1371016 |
Statements
On-line change-point detection (for state space models) using multi-process Kalman filters (English)
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28 November 1999
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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.
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multi-process Kalman filters
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change-point
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noisy time series
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biomedical signals
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embedded outliers
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stability of the algorithm
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0.8910908
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0.88769484
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0.88756865
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0.8795465
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0.8757781
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0.8756133
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0.87362736
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