Abstract
Abstract This report is concerned with the problem of sequential (on-line) detection of abrupt changes in stochastic processes. Many different tasks of control theory, identification theory and signal processing can be solved by making use of such approach. This report presents some results of recent work on development and investigation of the sequential change detection algorithm based upon a likelihood ratio. Both simple (additive) and more complex (spectral) changes are introduced through this general approach. Some typical application of on-line change detection algorithm are also described.
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