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

DOI10.1081/SQA-120034109MaRDI QIDQ3155687zbMATHFDO

Authors Allan Gut, J. G. Steinebach

Publication date 18 January 2005

Published in Sequential Analysis (Search for Journal in Brave)

zbMATH Keywords

Wiener processstopping timestrong approximationfirst passage timechange-pointrenewal counting processsequential testsextreme value asymptoticsincrements

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)

Recommendations

• EWMA control charts for detecting changes in the mean of a long-memory process
• A NOTE ON EWMA CHARTS FOR MONITORING MEAN CHANGES IN NORMAL PROCESSES
• EWMA charts for monitoring the mean and the autocovariances of stationary processes
• Detecting change-points in multidimensional stochastic processes
• Change point testing for the drift parameters of a periodic mean reversion process
• EWMA Charts for Monitoring the Mean and the Autocovariances of Stationary Gaussian Processes
• Change-point detection in the marginal distribution of a linear process
• Change-point detection for piecewise deterministic Markov processes
• scientific article; zbMATH DE number 1916873

Cites work

• Extremes and related properties of random sequences and processes
• Limit Theorems for the Maximum Term in Stationary Sequences
• On the run length of a Shewhart chart for correlated data
• 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
• Testing for changes in the mean or variance of a stochastic process under weak invariance
• Truncated Sequential Change‐point Detection based on Renewal Counting Processes

Cited in

(1)

• Optimal Surveillance Based on Exponentially Weighted Moving Averages

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