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

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

Research output: Book/ReportReportProfessional

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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

Fingerprint

Likelihood Ratio
State-space Representation
Time-varying
Scaling
Unknown
Model
Banks

Keywords

  • METIS-141128
  • IR-30488

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.
Hupkens, E.P. ; Hupkens, Erik P. ; Bagchi, Arunabha. / The detection of local changes in (semi-) causal stochastic fields. Enschede : University of Twente, Department of Applied Mathematics, 1996. 30 p. (Memorandum Department of Applied Mathematics; 1317).
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Hupkens, EP, Hupkens, EP & Bagchi, A 1996, The detection of local changes in (semi-) causal stochastic fields. Memorandum Department of Applied Mathematics, no. 1317, University of Twente, Department of Applied Mathematics, Enschede.

The detection of local changes in (semi-) causal stochastic fields. / Hupkens, E.P.; Hupkens, Erik P.; Bagchi, Arunabha.

Enschede : University of Twente, Department of Applied Mathematics, 1996. 30 p. (Memorandum Department of Applied Mathematics; No. 1317).

Research output: Book/ReportReportProfessional

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AB - 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.

KW - METIS-141128

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M3 - Report

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PB - University of Twente, Department of Applied Mathematics

CY - Enschede

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Hupkens EP, Hupkens EP, Bagchi A. The detection of local changes in (semi-) causal stochastic fields. Enschede: University of Twente, Department of Applied Mathematics, 1996. 30 p. (Memorandum Department of Applied Mathematics; 1317).