Desgin and comparative study of some sequential jump detection algorithms for digital signals

The purpose of this paper is to analyze the behavior of several jump detection algorithms when applied to the same real data (geophysical signals) and to compare these algorithms from different points of view: complexity, efficiency, robustness, and ability to characterize the detected jumps. Three types of algorithms are investigated: "filtered derivatives" detectors, cumulative sum (cusum) tests, and Willsky's generalized likelihood ratio (GLR) algorithm. A modified version of this last test is elaborated, and a new detector, mixing GLR and cusum tests, is presented.