Quadratic tests for detection of abrupt changes in multivariate signals

DOI10.1109/78.782197MaRDI QIDQ2732847zbMATH OpenOpenAlexFDO

Authors Igor Nikiforov

Publication date 9 August 2001

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/12bd7175727dbf4f5231ea2cc4d4efb8f8ff0ee7

zbMATH Keywords

change detectionmultivariate Gaussian random signal

Mathematics Subject Classification ID

Detection theory in information and communication theory (94A13)

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(5)

• Detection and estimation of abrupt changes contaminated by multiplicative Gaussian noise
• A suboptimal quadratic change detection scheme
• The marginalized likelihood ratio test for detecting abrupt changes
• Optimal multivariate EWMA chart for detecting common change in mean
• Performance evaluation of some methods for off-line detection of changes in autoregressive signals

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