Detecting abrupt changes in ARMA signals

The authors describe a novel method for detecting changes in time series represented by autoregressive moving average models, based on a method by Nikiforov (see I.V. Nikiforov, 1986, I.V. Nikiforov and I.N. Tikhohov, 1986, and A.F. Kushnin et al., 1983). They review previous work by Nikiforov, describing a derivation of the sequential change detection method. The application of Nikiforov's method to autoregressive models and its extension to ARMA models are described. Examples of the algorithm's performance are given