RUN LENGTH PROPERTIES OF THE CUSUM AND EWMA SCHEMES FOR A STATIONARY LINEAR PROCESS

被引：1

作者：

Han, Dong ^{[1
]}

Tsung, Fugee ^{[2
]}

机构：

[1] Shanghai Jiao Tong Univ, Dept Math, Shanghai 200030, Peoples R China

[2] Hong Kong Univ Sci & Technol, Dept Ind Engn & Logist Management, Hong Kong, Hong Kong, Peoples R China

来源：

STATISTICA SINICA | 2009年 / 19卷 / 02期

关键词：

Autocorrelated stationary processes; average run length; change point detection; STATISTICAL PROCESS-CONTROL; CONTROL CHARTS; DISTRIBUTIONS; PERFORMANCE; DESIGN; TIME;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

070103 [概率论与数理统计]; 140311 [社会设计与社会创新];

摘要：

This paper presents the asymptotic expressions of the average run length (ARL) for the cumulative sum (CUSUM) and exponentially weighted moving average (EWMA) control charts in detecting an unknown mean shift in a stationary linear process. Based on the ARL expressions, we compare the detection performance of the two popular charts in monitoring the mean shifts in such autocorrelated processes. Both theoretical analysis and numerical simulation results show that auto-covariance can play an important role in the detection performance of the two charts.

引用

页码：473 / 490

页数：18

共 41 条

[1]

TIME-SERIES MODELING FOR STATISTICAL PROCESS-CONTROL [J].