Application of the Kullback-Leibler Measure for Estimating the Instants of a Change in the Statistical Properties of a Binary Markovian Process

摘要

The problem of determining the instants of an abrupt change in the statistical characteristics of a discrete-time binary Markovian process is considered. The problem solution method based on the Kullback-Leibler measure applied to estimation of the joint-probability distribution for different signal segments is proposed. It is shown that the use of the joint-probability distribution allows construction of a computationally efficient estimation algorithm.