Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第45回ISCIE「確率システム理論と応用」国際シンポジウム(2013年11月, 沖縄)
A signal for online whiteness testing generated by recursive subspace model identification from closed-loop data
Hiroshi Oku
ジャーナル フリー

2014 年 2014 巻 p. 155-163


In this paper, we will develop an online statistical change detection method, which is used for detection of changes in a system under surveillance in closed-loop. A recursive algorithm of closed loop subspace model identification is presented, which is based on the matrix inversion lemma. The relation between the proposed recursive algorithm and the predictor-based subspace identification method (PBSID) is clarified from the viewpoint of a matrix-valued least squares problem. A test signal generated sequentially by the recursive algorithm is studied and its asymptotic whiteness is proved explicitly. The proposed online change detection method is based on a likelihood ratio test to examine the change in the covariance of the aforementioned test signal.

© 2014 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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