## Change detection and input design in dynamical systems |

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### Contents

A Decision Theoretic Approach to Change Detection | 13 |

The Sequential Probability Ratio Test | 40 |

Sequential Analysis of Autoregressive Processes | 51 |

Copyright | |

5 other sections not shown

### Common terms and phrases

approximations arg max ASN and OC assume autoregressive process average detection delay change detection problem chapter consider cost function cumulative sum decision theory derived detecting changes dynamical systems E{zk error probabilities estimated Example extreme point false alarm performance false alarm rate frequency Fundamental Identity given Hence hypotheses independent input law input power input signal Kalman filtering Lemma Let us denote linear log likelihood ratio loss plus cost matrix maximize models MTBFA multihypothesis CUSUM test multihypothesis SPRT nearly Toeplitz normal distribution Note observations obtained OC function optimal decision rules optimal input optimal offline inputs optimal stopping optimal terminal decision pk(q polynomial probability density function procedure random variable resetting risk function run length sampling instant satisfies Section sequential decision problem sequential test simulations SPRT in testing SPRT's statistical statistically independent stopping rule terminal decision rule Theorem thresholds Toeplitz matrices truncated UMIST values vector Zhang

### References to this book

Auxiliary Signal Design for Failure Detection Stephen La Vern Campbell,Ramine Nikoukhah Limited preview - 2004 |