Accession Number : AD0656043

Title :   DETECTION OF CHANGES IN CHARACTERISTICS OF A GAUSS-MARKOV PROCESS.

Descriptive Note : Technical rept.,

Corporate Author : HARVARD UNIV CAMBRIDGE MASS DIV OF ENGINEERING AND APPLIED PHYSICS

Personal Author(s) : Newbold,P. M. ; Ho,Y. C.

Report Date : JUN 1967

Pagination or Media Count : 40

Abstract : By an extension to the theory of sequential detection with dependent measurements, it is possible to develop a Sequential Probability Ratio Test (SPRT) to detect changes in regime in a Gauss-Markov Process rather than detecting which of two regimes exist. It is shown how a posterior form of this extended SPRT may be simplified to reduce computational complexity. The simplified SPRT's are in fact modifications of the original SPRT detecting the regime and not the change. The tests are applied to the problem of fault detection in a gyro navigational system: the results of a detailed computer simulation are given. (Author)

Descriptors :   (*STATISTICAL PROCESSES, SEQUENTIAL ANALYSIS), (*GYROSCOPES, FAILURE), PROBABILITY, DECISION THEORY, SAMPLING, SEQUENCES(MATHEMATICS), ITERATIONS, NAVIGATION, ERRORS, DETECTION

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE