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A generalized likelihood ratio approach to the detection and estimation of jumps in linear systems. (English) Zbl 0316.93038

MSC:
93E10 Estimation and detection in stochastic control theory
93C05 Linear systems in control theory
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G35 Signal detection and filtering (aspects of stochastic processes)
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