Volume 1, Issue 3, December 2014, Pages 237 - 243
Model Introduced SPRT for Structural Change Detection of Time Series (II)
Yoshihide Koyama, Tetsuo Hattori, Katsunori Takeda, Hiromichi Kawano
Available Online 15 December 2014.
- 10.2991/jrnal.2014.1.3.14How to use a DOI?
- Change detection, SPRT, NSPR, Hidden Markov Model, Information Theory, Binary Channel, Bayes’ Updating
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.
- © 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 - 10.2991/jrnal.2014.1.3.14 ID - Koyama2014 ER -