Kybernetika 31 no. 1, 17-29, 1995

A method of detecting changes in the behaviour of locally stationary sequences

Jiří Michálek


A method for the detection of abrupt changes in the course of a locally stationary sequence is proposed. The method is based on a suitable approximation of an observed sequence by autoregressive models that are compared by means of a similarity measure derived from the asymptotic $I$-divergence rate. The method is illustrated by several numerical results.


62L99, 62B10, 62M10