Thesis (Ph.D.)--Baylor University, 2008. / Includes bibliographical references (p.84-86)

The change point problem is a problem where a process changes regimes because a parameter changes at a point in time called the change point. The objective of this problem is to estimate the change point and each of the parameters of the stochastic process. In this thesis, we examine the change point problem for two classes of stochastic processes. First, we consider the volatility change point problem for stochastic diffusion processes driven by Brownian motions. Then, we consider the drift change point problem for Ornstein-Uhlenbeck processes driven by _-stable Levy motions. In each problem, we establish the consistency of the estimators, determine asymptotic behavior for the changing parameters, and finally, we perform simulation studies to computationally assess the convergence of parameters. / Includes bibliography. / Dissertation (Ph.D.)--Florida Atlantic University, 2020. / FAU Electronic Theses and Dissertations Collection

Cette thèse s’inscrit dans le cadre du projet « SCALA » financé par l’ANR à travers le programme ANR-11-SECU-0005. Son objectif consiste à surveiller des systèmes de contrôle et d’acquisition de données (SCADA) contre des attaques cyber-physiques. Il s'agit de résoudre un problème de détection-localisation séquentielle de signaux transitoires dans des systèmes stochastiques et dynamiques en présence d'états inconnus et de bruits aléatoires. La solution proposée s'appuie sur une approche par redondance analytique composée de deux étapes : la génération de résidus, puis leur évaluation. Les résidus sont générés de deux façons distinctes, avec le filtre de Kalman ou par projection sur l’espace de parité. Ils sont ensuite évalués par des méthodes d’analyse séquentielle de rupture selon de nouveaux critères d’optimalité adaptés à la surveillance des systèmes à sécurité critique. Il s'agit donc de minimiser la pire probabilité de détection manquée sous la contrainte de niveaux acceptables pour la pire probabilité de fausse alarme et la pire probabilité de fausse localisation. Pour la tâche de détection, le problème d’optimisation est résolu dans deux cas : les paramètres du signal transitoire sont complètement connus ou seulement partiellement connus. Les propriétés statistiques des tests sous-optimaux obtenus sont analysées. Des résultats préliminaires pour la tâche de localisation sont également proposés. Les algorithmes développés sont appliqués à la détection et à la localisation d'actes malveillants dans un réseau d’eau potable / This PhD thesis is registered in the framework of the project “SCALA” which received financial support through the program ANR-11-SECU-0005. Its ultimate objective involves the on-line monitoring of Supervisory Control And Data Acquisition (SCADA) systems against cyber-physical attacks. The problem is formulated as the sequential detection and isolation of transient signals in stochastic-dynamical systems in the presence of unknown system states and random noises. It is solved by using the analytical redundancy approach consisting of two steps: residual generation and residual evaluation. The residuals are firstly generated by both Kalman filter and parity space approaches. They are then evaluated by using sequential analysis techniques taking into account certain criteria of optimality. However, these classical criteria are not adequate for the surveillance of safety-critical infrastructures. For such applications, it is suggested to minimize the worst-case probability of missed detection subject to acceptable levels on the worst-case probability of false alarm and false isolation. For the detection task, the optimization problem is formulated and solved in both scenarios: exactly and partially known parameters. The sub-optimal tests are obtained and their statistical properties are investigated. Preliminary results for the isolation task are also obtained. The proposed algorithms are applied to the detection and isolation of malicious attacks on a simple SCADA water network

Les travaux présentés dans ce mémoire de thèse concernent le développement et la mise en oeuvre d'un algorithme de filtrage particulaire pour le recalage de la navigation inertielle par mesures altimétriques. Le filtre développé, le MRPF (Mixture Regularized Particle Filter), s'appuie à la fois sur la modélisation de la densité a posteriori sous forme de mélange fini, sur le filtre particulaire régularisé ainsi que sur l'algorithme mean-shift clustering. Nous proposons également une extension du MRPF au filtre particulaire Rao-Blackwellisé appelée MRBPF (Mixture Rao-Blackwellized Particle Filter). L'objectif est de proposer un filtre adapté à la gestion des multimodalités dues aux ambiguïtés de terrain. L'utilisation des modèles de mélange fini permet d'introduire un algorithme d'échantillonnage d'importance afin de générer les particules dans les zones d'intérêt. Un second axe de recherche concerne la mise au point d'outils de contrôle d'intégrité de la solution particulaire. En nous appuyant sur la théorie de la détection de changement, nous proposons un algorithme de détection séquentielle de la divergence du filtre. Les performances du MRPF, MRBPF, et du test d'intégrité sont évaluées sur plusieurs scénarios de recalage altimétrique / This thesis deals with the development of a mixture particle filtering algorithm for inertial navigation update via radar-altimeter measurements. This particle filter, the so-called MRPF (Mixture Regularized Particle Filter), combines mixture modelling of the posterior density, the regularized particle filter and the mean-shift clustering algorithm. A version adapted to the Rao-Blackwellized particle filter, the MRBPF (Mixture Rao-Blackwellized Particle Filter), is also presented. The main goal is to design a filter well suited to multimodal densities caused by terrain amibiguity. The use of mixture models enables us to introduce an alternative importance sampling procedure aimed at proposing samples in the high likelihood regions of the state space. A second research axis is concerned with the development of particle filtering integrity monitoring tools. A novel particle filter divergence sequential detector, based on change detection theory, is presented. The performances of the MRPF, MRBPF and the divergence detector are reported on several terrain navigation scenarios

Orientador: Filidor Edilfonso Vilca Labra / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matemática Estatística e Computação Científica / Made available in DSpace on 2018-08-25T19:08:47Z (GMT). No. of bitstreams: 1 HuairaContreras_CarlosAlberto_M.pdf: 2748699 bytes, checksum: fc8d02e2b19e638936faea1dec0b8ddc (MD5) Previous issue date: 2014 / Resumo: Modelos lineares são frequentemente usados em estatística para descrever a relação entre uma variável resposta e uma ou mais variáveis explicativas, onde geralmente os erros são assumidos como normalmente distribuídos. Além disso, em modelos de regressão linear assume-se que o mesmo modelo linear é válido para todo o conjunto de dados. O modelo pode mudar após um ponto específico e assim um modelo linear com um ponto de mudança poderá ser apropriado para o conjunto de dados. O principal objetivo deste trabalho é estudar alguns aspectos de estimação e análise de diagnóstico em modelos de regressão linear com ponto de mudança sob distribuições de mistura de escala normal. A análise de diagnóstico é baseada nos trabalhos de Cook (1986) e Zhu & Lee (2001). Os resultados obtidos representam uma extensão de alguns resultados apresentados na literatura, ver por exemplo Chen (1998) e Osorio & Galea (2005). Finalmente, estudos de simulação através de simulações Monte Carlo são realizados e exemplos numéricos são apresentados para ilustrar os resultados propostos / Abstract: Linear models are widely used in statistics to describe the relationship between a response variable and one or more explanatory variables, where usually it is assumed the errors are normally distributed. Moreover, in linear regression model is assumed that the same linear model holds for the whole data set, but this is not always valid. The model may change after a specific point, and so a linear model with a change point would be appropriate for data set. The main objective of work is to study some aspect of estimation and analysis of diagnostics in the regression linear with change point model under scale mixture of normal distributions. The analysis of diagnostics is based on the works of Cook (1986) and Zhu & Lee (2001). The results obtained represent a extension of some results obtained in the literature; see for example Chen (1998) and Osorio & Galea (2005). Finally, simulation studies are investigated through Monte Carlo simulations and numerical examples are presented to illustrate the proposed results / Mestrado / Estatistica / Mestre em Estatística