A research on segmentation of nonstationary stochastic process into piecewise stationary stochastic process

P. M. Djuric, etc.(1992) researched on the segmentation of nonstationary stochastic process into piecewise stationary stochastic process by Bayesian criterion, and gave a dynamic equation about the number of segments, their boundaries and AR model orders for each segment, but did not give detailed solution for the equation. Because the solution for the equation is very complex, this paper investigates the solution, derives some recursive relations, simplifies the problem, saves computation time and goes further into the segmentation of nonstationary stochastic process into piecewise stationary stochastic process.