EWMA Charts for Detecting a Change-Point in the Drift of a Stochastic Process
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Publication:3155687
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)
Wiener process; stopping time; renewal counting process; first passage time; strong approximation; increments; change-point; sequential tests; extreme value asymptotics
62P30: Applications of statistics in engineering and industry; control charts
60K10: Applications of renewal theory (reliability, demand theory, etc.)
62L15: Optimal stopping in statistics
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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