Filtering and smoothing of stochastic state space dynamic systems have benefited from several generations of estimation approaches since the seminal works of Kalman in the sixties. A set of global analytical or numerical methods are now available, such as the well-known sequential Monte Carlo...

Statistical methods dealing with change detection and isolation in dynamical systems are based on algorithms deriving from hypothesis testing. As for any statistical test, the problem of threshold choice has to be addressed by taking into account the constraints fixed by the supervisors and the...