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Keywords = Kalman-Bucy filter

Number of Articles: 1
A Note on Change Point Analysis Using Filtering

Reza Habibi

Volume 55, Issue 1 , June 2023, , Pages 123-129

https://doi.org/10.22059/jac.2023.92822

Abstract
  The Kalman-Bucy filter is studied under different scenarios for observation and state equations, however, an important question is, how this filter may be applied to detect the change points. In this paper, using the Bayesian approach, a modified version of this filter is studied which has good and justifiable ...  Read More