Some Optimal CUSUM Rule Extensions in Dynamic Model Parameter Change-Point Detection Problems System Identification - INRAE - Institut national de recherche pour l’agriculture, l’alimentation et l’environnement Access content directly
Conference Papers Year : 2010

Some Optimal CUSUM Rule Extensions in Dynamic Model Parameter Change-Point Detection Problems System Identification

Abstract

This paper proposes three extensions of the usual CUSUM rule for change point detection in dynamic systems, in situations where the application of the rule is problematic. The first two ones concerns the case of nonlinear state-space systems indirectly observed and the case of uncertain systems. The third one improves the performance of the usual rule when applied to nonstationary systems, by ensuring a constant rate of false alarms. They all rely on kernel-based nonparametric estimation approaches.

Dates and versions

emse-00466787 , version 1 (24-03-2010)

Identifiers

Cite

Nadine Hilgert, Ghislain Verdier, Jean-Pierre Vila. Some Optimal CUSUM Rule Extensions in Dynamic Model Parameter Change-Point Detection Problems System Identification. 15th IFAC Symposium on System Identification, 2009 System Identification, Jul 2009, Saint-Malo, France. ⟨10.3182/20090706-3-FR-2004.00034⟩. ⟨emse-00466787⟩
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