On-line discontinuities identification in noisy signals: Application to Kalman filtering

The problem of fault detection in a stochastic linear time invariant system is dealt with, assuming that the fault is modelled by a jump in the noisy output. An on-line identification procedure is designed based on a multiscale analysis and on the application of suitable statistical tests. Once the time and the size of the discontinuity have been identified, the state estimate evolution of a Kalman filter is adequately compensated.