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 ALife Robotics Corp. Ltd.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).