The detection of local changes in (semi-) causal stochastic fields

E.P. Hupkens, Erik P. Hupkens, Arunabha Bagchi

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    Abstract

    Causal and semicausal stochastic elds may be rewritten in a state-space representation. Local changes in these elds may be regarded as time-varying changes in the parameters of this model. Using a Kalman lter bank, the generalized likelihood ratio may be computed if these changes are known to be in a certain set. If only some scaling parameters are unknown, exact expressions for the generalized likelihood ratio may be found.
    Original languageEnglish
    Place of PublicationEnschede
    PublisherUniversity of Twente, Department of Applied Mathematics
    Number of pages30
    Publication statusPublished - 1996

    Publication series

    NameMemorandum Department of Applied Mathematics
    PublisherUniversity of Twente, Department of Applied Mathematics
    No.1317

    Keywords

    • METIS-141128
    • IR-30488

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  • Cite this

    Hupkens, E. P., Hupkens, E. P., & Bagchi, A. (1996). The detection of local changes in (semi-) causal stochastic fields. (Memorandum Department of Applied Mathematics; No. 1317). Enschede: University of Twente, Department of Applied Mathematics.