A RESEARCH ON SEGMENTATION OF NONSTATIONARY STOCHASTIC PROCESS INTO PIECEWISE STATIONARY STOCHASTIC PROCESS
分段平稳随机过程的参数估计方法

P. M. Djuric, et al.(1992) researched on the segmentation of nonstationary stochastic process into piecewise stationary stochastic process by Bayesian theory, and gave a dynamic equation about the number of segments, their boundaries and AR model orders for each segment, but did not give details of solution for the equation. Because the solution for the equation is very complex, this paper investigates the solution, derives some recursive relations, simplifies the problem, saves computation time and goes further into the segmentation of nonstationary stochastic process into piecewise stationary stochastic process.