Adaptive CUSUM procedures with Markovian mean estimation

doi:10.1016/j.csda.2008.02.024

UM > Faculty of Business Administration > DEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT

Residential College	false
Status	已發表Published
	Adaptive CUSUM procedures with Markovian mean estimation
	Shu,Lianjie1 ; Jiang,Wei 2; Wu,Zhang 3
	2008-05-15
Source Publication	Computational Statistics and Data Analysis
ABS Journal Level	3
ISSN	0167-9473
Volume	52 Issue:9 Pages:4395-4409
Abstract	This paper proposes using a Markovian-type mean estimating procedure in the conventional cumulative sum (CUSUM) control scheme to update its reference value in an adaptive way. This generalizes a class of Markovian adaptive CUSUM (ACUSUM) schemes to achieve the aim of providing an overall good performance over a range of future expected but unknown mean shifts. A two-dimensional Markov chain model is developed to analyze the run length performance of the new scheme. A comparison of run length performance of the proposed ACUSUM scheme and other control charts is shown favorable to the former. © 2008 Elsevier Ltd. All rights reserved.
DOI	10.1016/j.csda.2008.02.024
URL	View the original
Indexed By	SCIE
Language	英語English
WOS Research Area	Computer Science ; Mathematics
WOS Subject	Computer Science, Interdisciplinary Applications ; Statistics & Probability
WOS ID	WOS:000257014000017
Scopus ID	2-s2.0-42749097665
Fulltext Access	View Full-Text via DOI View Full-Text via Web of Science View Full-Text via Scopus
Citation statistics
Document Type	Journal article
Collection	DEPARTMENT OF ACCOUNTING AND INFORMATION MANAGEMENT
Corresponding Author	Jiang,Wei
Affiliation	1.Faculty of Business Administration,University of Macau,,Macao 2.School of Systems and Enterprises,Stevens Institute of Technology,,United States 3.Division of Systems and Engineering Management,School of Mechanical and Aerospace Engineering,Nanyang Technological University,,Singapore
First Author Affilication	Faculty of Business Administration
Recommended Citation GB/T 7714	Shu,Lianjie,Jiang,Wei,Wu,Zhang. Adaptive CUSUM procedures with Markovian mean estimation[J]. Computational Statistics and Data Analysis, 2008, 52(9), 4395-4409.
APA	Shu,Lianjie., Jiang,Wei., & Wu,Zhang (2008). Adaptive CUSUM procedures with Markovian mean estimation. Computational Statistics and Data Analysis, 52(9), 4395-4409.
MLA	Shu,Lianjie,et al."Adaptive CUSUM procedures with Markovian mean estimation".Computational Statistics and Data Analysis 52.9(2008):4395-4409.

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