✦ LIBER ✦
On-line change-point detection (for state space models) using multi-process Kalman filters
✍ Scribed by Martin Daumer; Markus Falk
- Publisher
- Elsevier Science
- Year
- 1998
- Tongue
- English
- Weight
- 650 KB
- Volume
- 284
- Category
- Article
- ISSN
- 0024-3795
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✦ Synopsis
In this Paper we show how to use an on-line algorithm based on a multi-process-Kalman-filterextending ideas described in Whittaker and Frühwirth-Sehnatter (J. Whittaker, Frühwirth-Sehnatter, Appl. Stat. 43 (4) (1994)) -to detect sequential Change-Points in noisy time series. We focus on types of Change-Points typically arising in biomedical Signals, i.e. jumps or drifts in nonstationary time series possibly corrupted by embedded outliers. The algorithm has been implemented in a program written in Matlab 5.0 and was tested using vital Parameters recorded during surgical procedures performed at the