COMPARISON OF EWMA, CUSUM AND SHIRYAYEV-ROBERTS PROCEDURES FOR DETECTING A SHIFT IN THE MEAN

被引：78

作者：

SRIVASTAVA, MS

WU, YH

机构：

来源：

ANNALS OF STATISTICS | 1993年 / 21卷 / 02期

关键词：

AVERAGE RUN LENGTH; BROWNIAN MOTION; ORNSTEIN-UHLENBECK PROCESS; RENEWAL PROCESS; STATIONARY AVERAGE DELAY TIME;

D O I：

10.1214/aos/1176349142

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：

Pollak and Siegmund compared the Shiryayev-Roberts procedure with the CUSUM procedure for detecting a change in the drift of a Brownian motion based on the conditional average delay time. In this paper, the exponentially weighted moving average (EWMA) procedure proposed by Roberts is compared with the Shiryayev-Roberts and CUSUM procedures. The comparison is based on the stationary average delay time as advocated by Shiryayev. The optimal design for the EWMA procedure and its asymptotic properties are studied when the average in-control run length is large. The results show that the EWMA procedure is less efficient than the other two procedures.

引用

页码：645 / 670

页数：26

共 20 条

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