An Adaptive Shiryaev–Roberts Procedure for Signalling Varying Location Shifts

This paper proposes a new adaptive chart based on the Shiryaev–Roberts procedure, by updating the reference value in an adaptive way to achieve the aim of overall good performance over a range of future expected but unknown mean shifts. A two-dimensional Markov chain model is developed to analyze the run length performance. The design guidelines are given. The comparisons of run length performance of the proposed scheme and other charts show that the proposed chart provides quite effective detecting ability over a range of mean shift sizes. The implementation of the new chart is illustrated by a real data example.