SEQUENTIAL CHANGEPOINT DETECTION IN QUALITY-CONTROL AND DYNAMICAL-SYSTEMS

被引：350
作者：
LAI, TL
机构：
来源：
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY | 1995年 / 57卷 / 04期
关键词：
DETECTION DELAY; FALSE ALARM; FAULT DETECTION; GENERALIZED LIKELIHOOD RATIO STATISTICS; MOVING AVERAGES; QUALITY CONTROL;
D O I：
10.1111/j.2517-6161.1995.tb02052.x
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
After a brief survey of a large variety of sequential detection procedures that are widely scattered in statistical references on quality control and engineering references on fault detection and signal processing, we study some open problems concerning these procedures and introduce a unified theory of sequential changepoint detection. This theory leads to a class of sequential detection rules which are not too demanding in computational and memory requirements for on-line implementation and yet are nearly optimal under several performance criteria.
引用
收藏
页码：613 / 658
页数：46
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