Journal of Robotics, Networking and Artificial Life

Volume 1, Issue 3, December 2014, Pages 237 - 243

Model Introduced SPRT for Structural Change Detection of Time Series (II)

Authors
Yoshihide Koyama, Tetsuo Hattori, Katsunori Takeda, Hiromichi Kawano
Corresponding Author
Yoshihide Koyama
Available Online 15 December 2014.
DOI
https://doi.org/10.2991/jrnal.2014.1.3.14How to use a DOI?
Keywords
Change detection, SPRT, NSPR, Hidden Markov Model, Information Theory, Binary Channel, Bayes’ Updating
Abstract

In this paper, using the notion of a binary Channel Matrix as well known in Information Theory, we present an equivalent relation between the SPRT (Sequential Probability Ratio Test) and Bayes’ Updating. Moreover, we show the relationship between the SPRT and NSPR (New Sequential Probability Ratio) where a Hidden Markov Model with Poisson process is introduced as structural change model. And we also provide the change point detection performance of SPRT and NSPR by experimental results.

Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Journal
Journal of Robotics, Networking and Artificial Life
Volume-Issue
1 - 3
Pages
237 - 243
Publication Date
2014/12/15
ISSN (Online)
2352-6386
ISSN (Print)
2405-9021
DOI
https://doi.org/10.2991/jrnal.2014.1.3.14How to use a DOI?
Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - JOUR
AU  - Yoshihide Koyama
AU  - Tetsuo Hattori
AU  - Katsunori Takeda
AU  - Hiromichi Kawano
PY  - 2014
DA  - 2014/12/15
TI  - Model Introduced SPRT for Structural Change Detection of Time Series (II)
JO  - Journal of Robotics, Networking and Artificial Life
SP  - 237
EP  - 243
VL  - 1
IS  - 3
SN  - 2352-6386
UR  - https://doi.org/10.2991/jrnal.2014.1.3.14
DO  - https://doi.org/10.2991/jrnal.2014.1.3.14
ID  - Koyama2014
ER  -