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The detection of local changes in (semi-) causal stochastic fields

University of Twente, Department of Applied Mathematics
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  • Mathematics


Causal and semicausal stochastic elds may be rewritten in a state-space representation. Local changes in these elds may be regarded as time-varying changes in the parameters of this model. Using a Kalman lter bank, the generalized likelihood ratio may be computed if these changes are known to be in a certain set. If only some scaling parameters are unknown, exact expressions for the generalized likelihood ratio may be found.

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