Statistical process control of the stochastic complexity of discrete processes

نویسندگان

  • Armin Shmilovici
  • Irad Ben-Gal
چکیده

Changes in stochastic processes often affect their description length, and reflected by their stochastic complexity measures. Monitoring the stochastic complexity of a sequence (or, equivalently, its code length) can detect process changes that may be undetectable by traditional SPC methods. The context tree is proposed here as a universal compression algorithm for measuring the stochastic complexity of a state-dependent discrete process. The advantage of the proposed method is in the reduced number of samples that are needed for reliable monitoring.

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تاریخ انتشار 2005