Detection of Changes in the Characteristics of a Gauss-Markov Process

By an extension to the theory of sequential detection with dependent measurements, it is possible to develop a sequential probability ratio test (SPRT) to detect changes in regime in a Gauss-Markov process rather than detecting which of the two regimes exists. It is shown how a posterior form of this extended SPRT may be simplified to reduce computational complexity. The simplified SPRT's are in fact modifications of the original SPRT detecting the regime and not the change. The tests are applied to the problem of fault detection in a gyro navigational system; the results of a detailed computer simulation are given.