Proceedings of the 2017 2nd International Conference on Modelling, Simulation and Applied Mathematics (MSAM2017)

Detection and Measurement of the Abrupt Change of the Power Parameters of the Fast-Fluctuating Gaussian Random Process

Authors
Oleg V Chernoyarov, Mahdi M Shahmoradian, Alexandra V Salnikova, Ilya A Buravlev
Corresponding Author
Oleg V Chernoyarov
Available Online March 2017.
DOI
https://doi.org/10.2991/msam-17.2017.37How to use a DOI?
Keywords
random process; abrupt change; detection; estimation; maximum likelihood method; parametrical prior uncertainty; local Markov approximation method; statistical computer simulation
Abstract
We introduce the technically simple approach to determining the abrupt change of the unknown mathematical expectation and dispersion of the low-frequency fast-fluctuating Gaussian random process against white noise. For this purpose, we determine new approximations of the decision statistics for various hypotheses, we carry out their maximization in terms of unknown parameters, and we develop the block diagrams for the corresponding detectors and measurers in the form of the comparatively simple single-channel units. For the analytical analysis of the performance of the synthesized algorithms, the asymptotically exact expressions for their characteristics, specifically – type I and type II error probabilities (when an abrupt change point is detected) and conditional biases and variances of the estimates (when measuring the parameters of the analyzed random process), are obtained by means of local Markov approximation method. The experimental testing of the presented theoretical results is implemented by the methods of statistical computer simulation.
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Proceedings
2017 2nd International Conference on Modelling, Simulation and Applied Mathematics (MSAM2017)
Part of series
Advances in Intelligent Systems Research
Publication Date
March 2017
ISBN
978-94-6252-324-1
ISSN
1951-6851
DOI
https://doi.org/10.2991/msam-17.2017.37How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Oleg V Chernoyarov
AU  - Mahdi M Shahmoradian
AU  - Alexandra V Salnikova
AU  - Ilya A Buravlev
PY  - 2017/03
DA  - 2017/03
TI  - Detection and Measurement of the Abrupt Change of the Power Parameters of the Fast-Fluctuating Gaussian Random Process
BT  - 2017 2nd International Conference on Modelling, Simulation and Applied Mathematics (MSAM2017)
PB  - Atlantis Press
SP  - 164
EP  - 168
SN  - 1951-6851
UR  - https://doi.org/10.2991/msam-17.2017.37
DO  - https://doi.org/10.2991/msam-17.2017.37
ID  - Chernoyarov2017/03
ER  -