A CUSUM test for detecting change in the transfer functions of open loop stochastic systems

A cumulative sum test for detecting change in the transfer function of open loop stochastic systems is proposed. The test is based on the logarithmic transformation of the “evolutionary gain-spectra” estimate. A design relation between the band width parameters of the evolutionary spectral density estimate and the average run length of the cumulative sum test is obtained. This cumulative sum technique has been applied to four simulated systems, one of which is completely time invariant and the other remaining three had change points at different time points.