Comparison of EWMA, CUSUM and Shiryayev-Roberts procedures for detecting a shift in the mean
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Publication:688374
DOI10.1214/AOS/1176349142zbMATH Open0816.62068OpenAlexW1969534213MaRDI QIDQ688374FDOQ688374
Authors: Yanhong Wu, Muni S. Srivastava 
Publication date: 3 July 1995
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176349142
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- A generalized EWMA control chart and its comparison with the optimal EWMA, CUSUM and GLR schemes.
- A diffusion process and its applications to detecting a change in the drift of Brownian motion
renewal processOrnstein-Uhlenbeck processchange point problemaverage-in- control run lengthCUSUM procedureEWMA procedureexponentially weighted moving average procedureShiryayev-Roberts procedurestationary average delay time
Applications of statistics in engineering and industry; control charts (62P30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Sequential statistical analysis (62L10)
Cited In (49)
- Minimax optimality of CUSUM for an autoregressive model
- Guest Editorial: Eighty Years of Control Charts
- Change-point detection in multinomial data with a large number of categories
- A lower confidence bound for the change point after a sequential CUSUM test
- Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis
- Efficient performance evaluation of the generalized Shiryaev-Roberts detection procedure in a multi-cyclic setup
- Investigating zero-state and steady-state performance of MEWMA-CoDa control chart using variable sampling interval
- Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data
- Optimality of the 2-CUSUM drift equalizer rules for detecting two-sided alternatives in the Brownian motion model
- Discord Detection For A Process With A Predefined Interval Of Observations
- A simple and effective scanning rule for a multi-channel system
- Evaluatiok of optimum weights and average run lenghts in ewma control schemes
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- Aspects on the control of false alarms in statistical surveillance and the impact on the return of financial decision systems
- Model misspecification in discrete time Bayesian online change detection
- Cusum procedure for monitoring variability
- Sequential detection of common transient signals in high dimensional data stream
- A generalized EWMA control chart and its comparison with the optimal EWMA, CUSUM and GLR schemes.
- Optimal Surveillance Based on Exponentially Weighted Moving Averages
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- Semiparametric surveillance of monotonic changes
- Detection and Diagnosis of Unknown Abrupt Changes Using CUSUM Multi-Chart Schemes
- Detection and diagnosis of distribution changes of degree ratio in complex networks
- Discussion on “Quickest Detection Problems: Fifty Years Later” by Albert N. Shiryaev
- Evaluations of some Exponentially Weighted Moving Average methods
- Comparisons of control schemes for monitoring the means of processes subject to drifts
- Properties and Use of the Shewhart Method and Its Followers
- Evaluations of likelihood ratio methods for surveillance.
- On the biases of change point and change magnitude estimation after CUSUM test
- Detection and estimation of abrupt changes in the variability of a process
- Sequential change-point detection with likelihood ratios
- The Impact of Intensity in Surveillance of Cyclical Processes
- Optimal thresholds for anomaly-based intrusion detection in dynamical environments
- Isolating changed panels and estimating common change point after sequential detection with FDR control
- A New Chart for Detecting the Process Mean and Variability
- Optimal Sequential Surveillance for Finance, Public Health, and Other Areas
- Some power aspects of methods for detecting different shifts in the mean
- Numerical Comparison of CUSUM and Shiryaev–Roberts Procedures for Detecting Changes in Distributions
- Monitoring cyclical processes. A non-parametric approach
- A local method for estimating change points: the “Hat-function”
- Some statistical aspects of methods for detection of turning points in business cycles
- Performance comparison of some likelihood ratio-based statistical surveillance methods
- On robustness of the Shiryaev-Roberts change-point detection procedure under parameter misspecification in the post-change distribution
- Quasi-stationary biases of change point and change magnitude estimation after sequential cusum test
- From Disorder Detection to Optimal Stopping and Mathematical Finance
- Dynamic sampling plans in on‐line control charts
- Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models
- Change-point problems: bibliography and review
- A less sensitive linear detector for the change point based on kernel smoothing method
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