Optimum robust detection of changes in the AR part of a multivariable ARMA process

DOI10.1109/TAC.1987.1104500MaRDI QIDQ3765677zbMATH OpenFDO

Authors Anne Rougée, Michèle Basseville, Albert Benveniste, George V. Moustakides

Publication date 1987

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

zbMATH Keywords

optimum designvibration monitoringdetection and diagnosisI.V. identificationinstruments-based test statisticsmultivariable ARMA process

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Multivariable systems, multidimensional control systems (93C35) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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• Optimal input design for the detection of changes towards unknown hypotheses
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