What is it about?
How to detect changes in dynamics, by using statistical tests, and track trajectories that change course.
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Why is it important?
It is possible to track changes, even when observation functions are not one--to-one.
Perspectives
Hidden processes can be tracked based on data even when they switch regimes and even when the observation function is not one-to-one. The challenge is to extend these ideas to hidden processes that live in high dimensions having components that correlate with each other plus, do not forget, the added observation noise.
Dr Paula P Milheiro-Oliveira
University of porto
Read the Original
This page is a summary of: An alternative sequential method for the state estimation of a partially observed SETAR(1) process, Statistics & Probability Letters, May 2022, Elsevier,
DOI: 10.1016/j.spl.2022.109385.
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