On-line change-point detection (for state space models) using multi-process Kalman filters

DOI10.1016/S0024-3795(98)10132-5MaRDI QIDQ1124774zbMATH OpenWikidataFDO

Authors Martin Daumer, Markus Falk

Publication date 28 November 1999

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0024-3795(98)10132-5

zbMATH Keywords

biomedical signalschange-pointembedded outliersmulti-process Kalman filtersnoisy time seriesstability of the algorithm

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Estimation and detection in stochastic control theory (93E10)

Review text

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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Cites work

• Bayesian forecasting and dynamic models
• Detection of Coseismic Changes of Underground Water Level
• Monitoring Renal Transplants: An Application of the Multiprocess Kalman Filter

Cited in

(9)

• Change detection in the dynamics of an intracellular protein synthesis model using nonlinear Kalman filtering
• Monitoring Renal Transplants: An Application of the Multiprocess Kalman Filter
• Online pattern recognition based on a generalized hidden Markov model for intraoperative vital sign monitoring
• Online monitoring with local smoothing methods and adaptive ridging
• A Dynamic Changepoint Model for Detecting the Onset of Growth in Bacteriological Infections
• Marginal likelihood change detection: particle filter approach
• A novel robust control scheme for LTV systems using output integral discrete-time synergetic control theory
• A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods
• Two multivariate online change detection models

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