Some Optimal CUSUM Rule Extensions in Dynamic Model Parameter Change-Point Detection Problems System Identification

Abstract : This paper proposes three extensions of the usual CUSUM rule for change point detection in dynamic systems, in situations where the application of the rule is problematic. The first two ones concerns the case of nonlinear state-space systems indirectly observed and the case of uncertain systems. The third one improves the performance of the usual rule when applied to nonstationary systems, by ensuring a constant rate of false alarms. They all rely on kernel-based nonparametric estimation approaches.
Document type :
Conference papers
Complete list of metadatas

https://hal-emse.ccsd.cnrs.fr/emse-00466787
Contributor : Sabine Salmeron <>
Submitted on : Wednesday, March 24, 2010 - 5:49:10 PM
Last modification on : Thursday, October 17, 2019 - 12:36:32 PM

Identifiers

Citation

Nadine Hilgert, Ghislain Verdier, Jean-Pierre Vila. Some Optimal CUSUM Rule Extensions in Dynamic Model Parameter Change-Point Detection Problems System Identification. 15th IFAC Symposium on System Identification, 2009 System Identification, Jul 2009, Saint-Malo, France. ⟨10.3182/20090706-3-FR-2004.0116⟩. ⟨emse-00466787⟩

Share

Metrics

Record views

133