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Methods of detecting instants of change of random process properties. (English. Russian original) Zbl 0541.93063
Autom. Remote Control 44, 1241-1283 (1983); translation from Avtom. Telemekh. 1983, No. 10, 5-56 (1983).
Summary: Studies published between 1954 and 1980 concerning the detection of changes in the statistical properties of correlated random processes are surveyed and analyzed. The cases when the random processes are univariate and multivariate, both in continuous and in discrete time, are considered. Procedures for detection of property changes, using process realizations of either fixed or variable length, are described. Methods of estimating the accuracy of the decisions are discussed. The methods of finding the changes in random process properties are compared.

MSC:
93E10 Estimation and detection in stochastic control theory
60G35 Signal detection and filtering (aspects of stochastic processes)
93-02 Research exposition (monographs, survey articles) pertaining to systems and control theory
62H12 Estimation in multivariate analysis
62L12 Sequential estimation
93C55 Discrete-time control/observation systems
93C99 Model systems in control theory
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