A method of detecting changes in the behaviour of a random sequence based on the Bayes approach.
Jiří Michálek, Jirí Skrivánek · Czech digital mathematics library · 1993
A method for the detection of changes in the behaviour of a locally stationary sequence is presented.A change can occur either as an abrupt jump in mean value or as a change in the spectral density function.The detection of changes is based on the Bayes approach.The suggested method is compared with a classical method based on maximal likelihood ratio and is presented by several numerical simulations.