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 properties and is applied in change point analysis.
Habibi,R . (2023). A Note on Change Point Analysis Using Filtering. Journal of Algorithms and Computation, 55(1), 123-129. doi: 10.22059/jac.2023.92822
MLA
Habibi,R . "A Note on Change Point Analysis Using Filtering", Journal of Algorithms and Computation, 55, 1, 2023, 123-129. doi: 10.22059/jac.2023.92822
HARVARD
Habibi R. (2023). 'A Note on Change Point Analysis Using Filtering', Journal of Algorithms and Computation, 55(1), pp. 123-129. doi: 10.22059/jac.2023.92822
CHICAGO
R Habibi, "A Note on Change Point Analysis Using Filtering," Journal of Algorithms and Computation, 55 1 (2023): 123-129, doi: 10.22059/jac.2023.92822
VANCOUVER
Habibi R. A Note on Change Point Analysis Using Filtering. J. Algo. Comp.. 2023;55(1):123-129. doi: 10.22059/jac.2023.92822
