Wang Wenhua, Wang Hongyu. A RESEARCH ON SEGMENTATION OF NONSTATIONARY STOCHASTIC PROCESS INTO PIECEWISE STATIONARY STOCHASTIC PROCESS[J]. Journal of Electronics & Information Technology, 1997, 19(3): 311-317.
Citation:
Wang Wenhua, Wang Hongyu. A RESEARCH ON SEGMENTATION OF NONSTATIONARY STOCHASTIC PROCESS INTO PIECEWISE STATIONARY STOCHASTIC PROCESS[J]. Journal of Electronics & Information Technology, 1997, 19(3): 311-317.
Wang Wenhua, Wang Hongyu. A RESEARCH ON SEGMENTATION OF NONSTATIONARY STOCHASTIC PROCESS INTO PIECEWISE STATIONARY STOCHASTIC PROCESS[J]. Journal of Electronics & Information Technology, 1997, 19(3): 311-317.
Citation:
Wang Wenhua, Wang Hongyu. A RESEARCH ON SEGMENTATION OF NONSTATIONARY STOCHASTIC PROCESS INTO PIECEWISE STATIONARY STOCHASTIC PROCESS[J]. Journal of Electronics & Information Technology, 1997, 19(3): 311-317.
P. M. Djuric, et al.(1992) researched on the segmentation of nonstationary stochastic process into piecewise stationary stochastic process by Bayesian theory, and gave a dynamic equation about the number of segments, their boundaries and AR model orders for each segment, but did not give details of solution for the equation. Because the solution for the equation is very complex, this paper investigates the solution, derives some recursive relations, simplifies the problem, saves computation time and goes further into the segmentation of nonstationary stochastic process into piecewise stationary stochastic process.
Basseville M. Detecting changes in singles and system: A survey[J].Automatica.1988, 24:309-326[2]Djuric P M, Kay S M, Faye Boudreaux-Bartels G. Segmentation of nonstationary signals. Proceedings[3]of the IEEE ICASSP, San Francisco,USA: 1992, 5, 161-164.[4]Djuric P M, Kay S M. Predictive probability .a criterion for model selection. Proceedings of the IEEE ICASSP, Aouquerque, New Mexico: 1990, 2415-2418.[5]Djuric P M, Kay S M. Order selection of autoregressive models. IEEE Trans on SP, 1992, SP-40(11), 2829-2833.
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