Fault diagnosis based on likelihood decomposition

A novel fault diagnosis method based on likelihood decomposition is proposed for linear stochastic systems described by autoregressive (AR) model. Assuming that at some time instant .tau. the fault of one of the following two types is occurs: innovation fault (actuator fault); and observation fault (sensor fault), the log-likelihood function is decomposed into two components based on the observations before and after .tau., respectively, Then, the type of the fault is determined by comparing the log-likelihoods corresponding two types of faults. Numerical examples demonstrate the usefulness of the proposed diagnosis method.