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Analysis of a low-complexity change detection scheme. (English) Zbl 0962.93083

A low-complexity method for the detection of changes in dynamic systems and for discrimination of these from changed levels of the disturbance is analyzed and evaluated. The main idea is to study the trajectory of the parameters in an adaptive FIR filter of high-order. A second-order Kalman filter based on an averaged model of the NLMS algorithm is used in order to derive a test statistics. The performance of the method is evaluated by means of an ROC analysis together with simulations.

MSC:

93E10 Estimation and detection in stochastic control theory
90B25 Reliability, availability, maintenance, inspection in operations research
93B07 Observability
94A13 Detection theory in information and communication theory
62N05 Reliability and life testing
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