A binary control chart to detect small jumps

DOI10.1080/02331880802379405zbMATH Open1278.62180arXiv1001.1841OpenAlexW2082596747MaRDI QIDQ3396489FDOQ3396489

Authors: Ewaryst Rafajłowicz, Ansgar Steland 

Publication date: 18 September 2009

Published in: Statistics (Search for Journal in Brave)

Abstract: The classic N p chart gives a signal if the number of successes in a sequence of inde- pendent binary variables exceeds a control limit. Motivated by engineering applications in industrial image processing and, to some extent, financial statistics, we study a simple modification of this chart, which uses only the most recent observations. Our aim is to construct a control chart for detecting a shift of an unknown size, allowing for an unknown distribution of the error terms. Simulation studies indicate that the proposed chart is su- perior in terms of out-of-control average run length, when one is interest in the detection of very small shifts. We provide a (functional) central limit theorem under a change-point model with local alternatives which explains that unexpected and interesting behavior. Since real observations are often not independent, the question arises whether these re- sults still hold true for the dependent case. Indeed, our asymptotic results work under the fairly general condition that the observations form a martingale difference array. This enlarges the applicability of our results considerably, firstly, to a large class time series models, and, secondly, to locally dependent image data, as we demonstrate by an example.

Full work available at URL: https://arxiv.org/abs/1001.1841

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zbMATH Keywords

time seriesFCLTsequential analysisimage processingengineering statistics

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30)

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Cited In (6)

• On the accuracy of fixed sample and fixed width confidence intervals based on the vertically weighted average
• Sequential data-adaptive bandwidth selection by cross-validation for nonparametric prediction
• Jumps in binomial AR(1) processes
• Decoupling change-point detection based on characteristic functions: methodology, asymptotics, subsampling and application
• M-procedures for detection of changes for dependent observations
• Vertically weighted averages in Hilbert spaces and applications to imaging: fixed-sample asymptotics and efficient sequential two-stage estimation

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