Optimality of Non-Restarting CUSUM Charts

DOI10.1080/07474946.2013.843324MaRDI QIDQ2941682zbMATH OpenOpenAlexWikidataFDO

Authors F. Din-Houn Lau, Axel Gandy

Publication date 24 August 2015

Published in Sequential Analysis (Search for Journal in Brave)

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

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)

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.

Recommendations

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Cites work

• An approach to the probability distribution of cusum run length
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• Decision theoretic optimality of the cusum procedure
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Cited in

(5)

• Decision theoretic optimality of the cusum procedure
• scientific article; zbMATH DE number 7289303 (Why is no real title available?)
• False discovery rate approach to dynamic change detection
• scientific article; zbMATH DE number 819253 (Why is no real title available?)
• Non-restarting cumulative sum charts and control of the false discovery rate

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