Analysis of multiple model method for change detection of ar processes

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This paper analyses the asymptotic behaviour of the so-called a posteriori probabilities in the Multiple Model method when applied for change detection of autoregressive processes. The convergence properties of a posteriori probabilities are deduced by application of martingale convergence theorems.

Original languageEnglish
Pages (from-to)115-121
Number of pages7
JournalComputers and Mathematics with Applications
Volume19
Issue number1
DOIs
Publication statusPublished - 1990

Fingerprint

Change Detection
Multiple Models
Martingale Convergence Theorem
Autoregressive Process
Convergence Properties
Asymptotic Behavior

ASJC Scopus subject areas

  • Applied Mathematics
  • Computational Mathematics
  • Modelling and Simulation
  • Engineering(all)

Cite this

Analysis of multiple model method for change detection of ar processes. / Pap, Gy; Bokor, J.; Gáspár, P.

In: Computers and Mathematics with Applications, Vol. 19, No. 1, 1990, p. 115-121.

Research output: Contribution to journalArticle

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