A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods

DOI10.1137/050647438zbMath1092.60016OpenAlexW2078450032WikidataQ115247177 ScholiaQ115247177MaRDI QIDQ5470845

J. M. C. Clark, Michel H. Vellekoop

Publication date: 1 June 2006

Published in: SIAM Review (Search for Journal in Brave)

Full work available at URL: https://research.utwente.nl/en/publications/a-nonlinear-filtering-approach-to-changepoint-detection-problems-direct-and-differentialggeometric-methods(01bda9f3-6ff3-4126-8d23-06c71068fb4b).html

zbMATH Keywords

Kalman filternonlinear filteringdifferential geometrychange detection

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Signal detection and filtering (aspects of stochastic processes) (60G35) Statistical decision theory (62C99) Numerical solutions to stochastic differential and integral equations (65C30)

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