Kybernetika 29 no. 2, 166-179, 1993

A method of detecting changes in the behaviour of a random sequence based on the Bayes approach

Jiří Michálek and Jiří Skřivánek


A method for the detection of changes in the behaviour of a locally stationary sequence is presented. A change can occur either as an abrupt jump in mean value or as a change in the spectral density function. The detection of changes is based on the Bayes approach. The suggested method is compared with a classical method based on maximal likelihood ratio and is presented by several numerical simulations.


62C10, 62M10