Optimality of Non-Restarting CUSUM Charts

DOI10.1080/07474946.2013.843324zbMATH Open1319.62172arXiv1205.1937OpenAlexW2023913627WikidataQ57834957 ScholiaQ57834957MaRDI QIDQ2941682FDOQ2941682

Authors: F. Din-Houn Lau, Axel Gandy 

Publication date: 24 August 2015

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

Abstract: We show optimality, in a well-defined sense, using cumulative sum (CUSUM) charts for detecting changes in distributions. We consider a setting with multiple changes between two known distributions. This result advocates the use of non-restarting CUSUM charts with an upper boundary. Typically, after signalling, a CUSUM chart is restarted by setting it to some value below the threshold. A non-restarting CUSUM chart is not reset after signalling; thus is able to signal continuously. Imposing an upper boundary prevents the CUSUM chart rising too high, which facilitates detection in our setting. We discuss, via simulations, how the choice of the upper boundary changes the signals made by the non-restarting CUSUM charts.

Full work available at URL: https://arxiv.org/abs/1205.1937

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zbMATH Keywords

CUSUMoptimalityupper boundarycumulative sum chartnon-restarting

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Cites Work

• Optimal stopping times for detecting changes in distributions
• Procedures for Reacting to a Change in Distribution
• CONTINUOUS INSPECTION SCHEMES
• Decision theoretic optimality of the cusum procedure
• An approach to the probability distribution of cusum run length
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Cited In (5)

• Title not available (Why is that?)
• Title not available (Why is that?)
• False discovery rate approach to dynamic change detection
• Decision theoretic optimality of the cusum procedure
• Non-restarting cumulative sum charts and control of the false discovery rate

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