Add to ORKGWe study, by means of simulations, the performance of the Shewhart method, the Cusum method, the Shiryaev-Roberts method and the likelihood ratio method in the case when the true shift differs from the shift for which the methods are optimal. The methods are compared for a fixed expected time until false alarm. The comparisons are made with respect to some measures associated with power such as probability of alarm when the change occurs immediately, expected delay of true alarm and predictive value of an alarm
. Suppose one can observe a Gaussian nonhomogeneous process with a continuous time parameter. At an ...
Abstract: A cumulative sum (CUSUM) multi-chart scheme that consists of multiple CUSUM control charts...
When in-control process parameters are estimated, this can have a substantial effect on the control ...
The CUSUM procedure is known to be optimal for detecting a change in distribution under a minimax sc...
Statistical surveillance is used to detect a change in a process. It might for example be a change o...
The volatility of asset returns are important in finance. Different likelihood based methods of stat...
Methods based on likelihood ratios are known to have several optimality properties. When control cha...
Using Markov chain representations, we evaluate and compare the performance of cumulative sum (CUSUM...
In many areas there is a need for continual observation of a time series, with the goal of detecting...
Abstract. We address a simple changepoint detection problem where observations are i.i.d. before and...
In systems for on-line detection of regime shifts, a process is continually observed. Based on the d...
Several versions of the EWMA (Exponentially Weighted Moving Average) method for monitoring a process...
Methods for on-line monitoring of business cycles are compared with respect to the ability of early ...
The need for statistical surveillance has been noted in many different areas, and examples of applic...
One main purpose of statistical surveillance is to detect a change in a process, often expressed as ...
. Suppose one can observe a Gaussian nonhomogeneous process with a continuous time parameter. At an ...
Abstract: A cumulative sum (CUSUM) multi-chart scheme that consists of multiple CUSUM control charts...
When in-control process parameters are estimated, this can have a substantial effect on the control ...
The CUSUM procedure is known to be optimal for detecting a change in distribution under a minimax sc...
Statistical surveillance is used to detect a change in a process. It might for example be a change o...
The volatility of asset returns are important in finance. Different likelihood based methods of stat...
Methods based on likelihood ratios are known to have several optimality properties. When control cha...
Using Markov chain representations, we evaluate and compare the performance of cumulative sum (CUSUM...
In many areas there is a need for continual observation of a time series, with the goal of detecting...
Abstract. We address a simple changepoint detection problem where observations are i.i.d. before and...
In systems for on-line detection of regime shifts, a process is continually observed. Based on the d...
Several versions of the EWMA (Exponentially Weighted Moving Average) method for monitoring a process...
Methods for on-line monitoring of business cycles are compared with respect to the ability of early ...
The need for statistical surveillance has been noted in many different areas, and examples of applic...
One main purpose of statistical surveillance is to detect a change in a process, often expressed as ...
. Suppose one can observe a Gaussian nonhomogeneous process with a continuous time parameter. At an ...
Abstract: A cumulative sum (CUSUM) multi-chart scheme that consists of multiple CUSUM control charts...
When in-control process parameters are estimated, this can have a substantial effect on the control ...