CUSUM control schemes for Gaussian processes |
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Authors: | W Schmid |
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Institution: | 1. Lehrstuhl für Statistik, Europa-Universit?t Viadrina, Postfach 776, D-1S207, Frankfurt (Oder)
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Abstract: | A CUSUM control scheme for detecting a change point in a Gaussian process is derived. An upper and a lower bound for the distribution
of the run length and for its moments is given.
In a Monte Carlo study the average run length (ARL) of this chart is compared with the ARL of two other CUSUM procedures which
are based on approximations to the sequential probability ratio, and, moreover, with EWMA schemes for autocorrelated data.
Results on the optimal choice of the reference value are presented. Furthermore it is investigated how these charts behave
if the model parameters are estimated. |
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Keywords: | Quality control CUSUM chart EWMA chart run length time series |
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