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Detecting changes in signals and systems - a survey. (English) Zbl 0653.93051
This is a survey paper devoted to an actual and important problem arising in speech and image recognition and in monitoring of systems: change detection in signal and systems. It is based on a large amount of papers (79 references) most of them issued after 1980. The paper treats the stochastic approach to the problem, the deterministic one is only reported. The general tool upon which the attention is focused is the likelihood ratio approach whose associated algorithms can be directly and easily implemented. Some important situations are extensively discussed: detecting jumps in the (stochastic) mean, changes in the spectral properties or eigenstructure, etc. The paper will be undoubtly of great use to those working in the area of the above mentioned domain.
Reviewer: D.Stanomir

MSC:
93E10 Estimation and detection in stochastic control theory
60G35 Signal detection and filtering (aspects of stochastic processes)
62A01 Foundations and philosophical topics in statistics
62N05 Reliability and life testing
93-02 Research exposition (monographs, survey articles) pertaining to systems and control theory
93C55 Discrete-time control/observation systems
90B25 Reliability, availability, maintenance, inspection in operations research
Keywords:
time-dependent
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