Measurement of stepwise change point of the fast fluctuating Gaussian random process under conditions of the parametrical prior uncertainty
Sergey M. Smolskiy, Oleg Chernoyarov, Boris I. Shakhtarin, Dmitry K. Proskurin · 2014
In this paper we propose a technically simple way of measurement of the abrupt change of fast fluctuating Gaussian signal under conditions of parametric prior uncertainty as an example of the mathematical expectation jumping of a random process with unknown intensity. Using local Markovian approximation of the solving statistics increments the definition technique of asymptotic characteristics of change-point time estimate is illustrated. Applying statistical computer modeling, we have found that measurers synthesized on the basis of the proposed approach are operable and the theoretical formulas describing their performance well conform to the corresponding experimental data in a wide range of parameter values of the analyzed process.