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Journal Articles IEEE Transactions on Signal Processing Year : 1999

Quadratic tests for detection of abrupt changes in multivariate signals

Abstract

This article considers the problem of detecting abrupt changes in the mean of a multivariate Gaussian random signal. A fixed sample size /spl chi//sup 2/-test is compared against the optimum sequential tests (/spl chi//sup 2/-CUSUM and /spl chi//sup 2/-GLR).
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Dates and versions

hal-02358879 , version 1 (12-11-2019)

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Igor V. Nikiforov. Quadratic tests for detection of abrupt changes in multivariate signals. IEEE Transactions on Signal Processing, 1999, 47 (9), pp.2534-2538. ⟨10.1109/78.782197⟩. ⟨hal-02358879⟩
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