Change-point detection as model selection

Article type: Research Article

Authors: Baikovicius, Jimmy | Gerencsér, László^;

Affiliations: Dept. of Electrical Engineering, McGill University, 3480 University St. Montreal, P.Q. H3A 2A7, Canada | Computer and Automation Institute of the Hungarian Academy of Sciences Budapest, H 1502 Pf 63, Hungary

Abstract: We present a new method for solving the change-point detection problem for ARMA systems which are assumed to have a slow and non-decaying drift after the change occurs. The proposed technique is inspired by the stochastic complexity theory, which gives a basis of comparison of different models with different change-point times. Some partial results on the analysis of the estimator are stated. A simulation is included which shows that the approach exhibits surprisingly good detection capabilities.

Keywords: stochastic systems, stochastic complexity, time varying systems, recursive estimation, time-varying Ljung's scheme, L-mixing processes, failure detection

DOI: 10.3233/INF-1992-3101

Journal: Informatica, vol. 3, no. 1, pp. 3-20, 1992