One approach for the detection and estimation of a jump in discrete time LTI systems

A deadbeat observer based generalized likelihood ratio (GLR) test is proposed for the detection and estimation of a jump in discrete time linear time invariant (LTI) systems. The proposed approach overcomes the difficulty in the choice of the window size for the online detection procedure. The marginalized GLR test is also discussed as the offline procedure to overcome the difficulty in the choice of the threshold.