Analysis of multiple model method for change detection of ar processes

Research output: Article

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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

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ASJC Scopus subject areas

  • Modelling and Simulation
  • Computational Theory and Mathematics
  • Computational Mathematics

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