Comparison of EWMA, CUSUM and Shiryayev-Roberts procedures for detecting a shift in the mean

DOI10.1214/aos/1176349142zbMath0816.62068OpenAlexW1969534213MaRDI QIDQ688374

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

zbMATH Keywords

Ornstein-Uhlenbeck process renewal process change point problem average-in- control run length CUSUM procedure EWMA procedure exponentially weighted moving average procedure Shiryayev-Roberts procedure stationary average delay time

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical analysis (62L10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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