期刊论文详细信息
| Journal of Robotics, Networking and Artificial Life (JRNAL) | |
| Model Introduced SPRT for Structural Change Detection of Time Series (II) | |
| 关键词: Change detection; SPRT; NSPR; Hidden Markov Model; Information Theory; Binary Channel; | |
| DOI : 10.2991/jrnal.2014.1.3.14 | |
| 来源: DOAJ | |
【 摘 要 】
In this paper, using the notion of a binary Channel Matrix as well known in Information Theory, we present an equivalent relation between the SPRT (Sequential Probability Ratio Test) and Bayes’ Updating. Moreover, we show the relationship between the SPRT and NSPR (New Sequential Probability Ratio) where a Hidden Markov Model with Poisson process is introduced as structural change model. And we also provide the change point detection performance of SPRT and NSPR by experimental results.
【 授权许可】
Unknown
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