Optimum robust detection of changes in the AR part of a multivariable ARMA process |
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Authors: | Rougee A Basseville M Benveniste A Moustakides G |
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Affiliation: | IRISA, Rennes Cedex, France; |
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Abstract: | We investigate the theoretical properties of new instruments-based test statistics recently proposed 3] for detection and diagnosis of changes in the AR part of a multivariable ARMA process. The design flexibilities are analyzed, and the optimum design of the test is exhibited. The connection with the accuracy of the I.V. identification method 14] is established, and the comparison with the local likelihood ratio tests is done. These tests have been developed as a solution to the problem of vibration monitoring for offshore platforms. |
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