Change point detection with application to the identification of a switching process

Lotfi Belkoura 1, 2
1 ALIEN - Algebra for Digital Identification and Estimation
Inria Lille - Nord Europe, Inria Saclay - Ile de France, Ecole Centrale de Lille, X - École polytechnique, CNRS - Centre National de la Recherche Scientifique : UMR8146
2 SyNeR - Systèmes Non Linéaires et à Retards
CRIStAL - Centre de Recherche en Informatique, Signal et Automatique de Lille (CRIStAL) - UMR 9189
Abstract : This paper deals with the change point detection problem with application to filtering and on-line identification of simple hybrid systems. The proposed method allows to obtain fast estimators for the unknown switch times and parameters. Numerical simulations with noisy data are provided.
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Lotfi Belkoura. Change point detection with application to the identification of a switching process. International conference on systems theory : Modelling, Analysis and Control, May 2009, Fes, Morocco. ⟨inria-00363679⟩

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