A simple recursive algorithm for diagnosis of abrupt changes in random signals

Authors:
I. V. Nikiforov
Affiliations:
Univ. de Technol. de Troyes
Venue:
IEEE Transactions on Information Theory
Year:
2006

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Abstract

We address the problem of detecting and isolating abrupt changes in random signals. An asymptotic optimal solution to this problem, which has been proposed in previous works, involve the number of computations at time t which grows to infinity with t. We propose another more realistic criterion, establish a new simple recursive change detection/isolation algorithm, and investigate its statistical properties