Model Introduced SPRT for Structural Change Detection of Time Series (II)

DOI

10.2991/jrnal.2014.1.3.14How to use a DOI?

Keywords

Change detection, SPRT, NSPR, Hidden Markov Model, Information Theory, Binary Channel, Bayes’ Updating

Abstract

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.

Copyright

© 2013, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - JOUR
AU  - Yoshihide Koyama
AU  - Tetsuo Hattori
AU  - Katsunori Takeda
AU  - Hiromichi Kawano
PY  - 2014
DA  - 2014/12/15
TI  - Model Introduced SPRT for Structural Change Detection of Time Series (II)
JO  - Journal of Robotics, Networking and Artificial Life
SP  - 237
EP  - 243
VL  - 1
IS  - 3
SN  - 2352-6386
UR  - https://doi.org/10.2991/jrnal.2014.1.3.14
DO  - 10.2991/jrnal.2014.1.3.14
ID  - Koyama2014
ER  -