Adaptive sequential segmentation of piecewise stationary time series

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The problem of adaptive segmentation of time series with abrupt changes in the spectral characteristics is addressed. Such time series have been encountered in various fields of time series analysis such as speech processing, biomedical signal processing, image analysis and failure detection. Mathematically, these time series often can be modeled by zero mean gaussian distributed autoregressive (AR) processes, where the parameters of the process, including the gain factor, remain constant for certain time intervals and then jump abruptly to new values. Identification of such processes requires adaptive segmentation: the times of parameter jumps have to be estimated thoroughly to constitute boundaries of “homogeneous” segments which can be described by stationary AR processes. In this paper, a new effective method for sequential adaptive segmentation is proposed, which is based on parallel application of two sequential parameter estimation procedures. The detection of a parameter change as well as the estimation of the accurate position of a segment boundary is effectively performed by a sequence of suitable generalized likelihood ratio (GLR) tests. Flow charts as well as a block diagram of the algorithm are presented. The adjustment of the three control parameters of the procedure (the AR model order, a threshold for the GLR test and the length of a “test window”) is discussed with respect to various performance features. The results of simulation experiments are presented which demonstrate the good detection properties of the algorithm and in particular an excellent ability to allocate the segment boundaries even within a sequence of short segments. As an application to biomedical signals, the analysis of human electroencephalograms (EEG) is considered and an example is shown.