DETECTION OF CHANGES IN CHARACTERISTICS OF A GAUSS-MARKOV PROCESS.
HARVARD UNIV CAMBRIDGE MASS DIV OF ENGINEERING AND APPLIED PHYSICS
Pagination or Media Count:
By an extension to the theory of sequential detection with dependent measurements, it is possible to develop a Sequential Probability Ratio Test SPRT to detect changes in regime in a Gauss-Markov Process rather than detecting which of two regimes exist. It is shown how a posterior form of this extended SPRT may be simplified to reduce computational complexity. The simplified SPRTs are in fact modifications of the original SPRT detecting the regime and not the change. The tests are applied to the problem of fault detection in a gyro navigational system the results of a detailed computer simulation are given. Author
- Statistics and Probability