Discrete sequential detection of abrupt or slow multiple changes in several unknown properties of random processes

Article type: Research Article

Authors: Montvilas, Algirdas-Mykolas

Affiliations: Institute of Mathematics and Informatics, 2600 Vilnius, Akademijos St.4, Lithuania

Abstract: An essentially new method for discrete sequential detection of abrupt or slow multiple changes in several unknown properties of random processes is considered. The method is based on a sequential nonlinear mapping into two-dimensional vectors of many-dimensional vectors of parameters which describe the properties of random process. The mapping error function is chosen and the expressions for sequential nonlinear mapping are presented along with some experimental results. Theoretical minimum amount of at the very beginning simultaneously mapped vectors is obtained.

Keywords: sequential detection of change in properties, complicated random processes, sequential nonlinear mapping

DOI: 10.3233/INF-1994-51-210

Journal: Informatica, vol. 5, no. 1-2, pp. 175-188, 1994