EWMA Charts for Detecting a Change-Point in the Drift of a Stochastic Process

DOI10.1081/SQA-120034109zbMath1146.62361MaRDI QIDQ3155687

Allan Gut, Josef G. Steinebach

Publication date: 18 January 2005

Published in: Sequential Analysis (Search for Journal in Brave)

zbMATH Keywords

Wiener processstopping timerenewal counting processfirst passage timestrong approximationincrementschange-pointsequential testsextreme value asymptotics

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Optimal stopping in statistics (62L15)

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Optimal Surveillance Based on Exponentially Weighted Moving Averages

Cites Work

• Extremes and related properties of random sequences and processes
• On the run length of the EWMA scheme: A monotonicity result for normal variables
• Some properties of the EWMA control chart in the presence of autocorrelation
• On the run length of a Shewhart chart for correlated data
• Truncated Sequential Change‐point Detection based on Renewal Counting Processes
• Limit Theorems for the Maximum Term in Stationary Sequences
• Testing for changes in the mean or variance of a stochastic process under weak invariance

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