Topic
Sequential probability ratio test
About: Sequential probability ratio test is a research topic. Over the lifetime, 1248 publications have been published within this topic receiving 22355 citations.
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26 Jul 2017
TL;DR: Experimental results show that the proposed elevator fault diagnosis method based on Sequential Probability Ratio Test has high accuracy in practical applications and is important to improve the performance of the fault diagnosis for the elevator mechanical system.
Abstract: An elevator fault diagnosis method based on Sequential Probability Ratio Test (SPRT) is proposed in this paper. In order to verify the effectiveness of the method, this paper designed the fault diagnosis experiment for elevator mechanical system. Firstly, the wavelet transformation is used to filter the noise of the vibration signal collected in the experiment. Then the kurtosis value of the filtered signal is extracted as the index to represent the practical status of the elevator. Finally, the SPRT algorithm is used to diagnose the faults of the elevator mechanical system. Experimental results show that this method has high accuracy in practical applications. It is important to improve the performance of the fault diagnosis for the elevator mechanical system.
4 citations
TL;DR: In this paper, the authors consider stopping rules based on a sequential version of the well known Dickey-Fuller test statistics in a setting, where the asymptotic distribution theory becomes a nice and simple application of weak convergence of Ito integrals.
Abstract: If we are given a time series of economic data, a basic question is whether the series is stationary or a random walk, i.e., has a unit root. Whereas the problem to test the unit root null hypothesis against the alternative of stationarity is well studied in the context of classic hypothesis testing in the sense of Neyman, sequential and monitoring approaches have not been studied in detail yet. We consider stopping rules based on a sequential version of the well known Dickey-Fuller test statistics in a setting, where the asymptotic distribution theory becomes a nice and simple application of weak convergence of Ito integrals. More sophisticated extensions studied elsewhere are outlined. Finally, we present a couple of simulations.
4 citations
Journal Article•
TL;DR: In this paper, the potential limitation of Wald Sequential Probability Ratio Test (SPRT) due to the uniqueness of alternative assumption when used for fault diagnosis and residual test is analyzed.
Abstract: The potential limitation of Wald Sequential Probability Ratio Test(SPRT) method due to the uniqueness of alternative assumption when used for fault diagnosis and residual test is analyzed.Focusing on the limitation,an improved method is put forward specially for normal distributed residual test,of which the alternative assumption is variable during detection process and the testing time delay is avoided.Mathematic simulation results indicate that the improved method,which guarantees a higher level of real-time performance than SPRT method,is more suitable for soft fault detection.
4 citations
21 Oct 2010
TL;DR: In this paper, the authors developed corresponding variations of the Wald and Rao test for nested hypothesis testing under parameter constraints, incorporating the constrained Cramer-Rao bound formulation from Stoica and Ng, and unifying some asymptotic hypothesis testing results.
Abstract: The classical Wald and Rao test statistics are asymptotically equivalent to the generalized likelihood ratio test statistics, while not requiring parameter estimation under both hypotheses, and so they provide lower complexity test statistics. In this paper we develop corresponding variations of the Wald and Rao test for nested hypothesis testing under parameter constraints. The resulting tests incorporate the constrained Cramer-Rao bound formulation from Stoica and Ng, and unify some asymptotic hypothesis testing results. Examples will illustrate key ideas and test performance.
4 citations
TL;DR: In this paper, the authors consider the problem of sequential testing a simple hypothesis against a simple alternative, based on observations of a discrete-time stochastic process X 1, X 2, X 3, X 4, X 5, X 6, X 7, X 8, X 9, X 10.
Abstract: We consider a problem of sequential testing a simple hypothesis against a simple alternative, based on observations of a discrete-time stochastic process X 1 , X 2 , … , in the presence of a random...
4 citations